{"id":59336,"date":"2018-03-09T22:47:10","date_gmt":"2018-03-09T22:47:10","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/credit-risk-modeling-using-actuarial-methods\/"},"modified":"2018-03-09T22:47:10","modified_gmt":"2018-03-09T22:47:10","slug":"credit-risk-modeling-using-actuarial-methods","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/barcelona\/credit-risk-modeling-using-actuarial-methods\/","title":{"rendered":"Credit risk modeling using actuarial methods"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Marc Carreras PiJuan <\/strong><\/h2>\n<p>Tradicionalmente la investigaci\u00f3n del riesgo financiero de cr\u00e9dito y la investigaci\u00f3n del riesgo asegurador se han considerado como lineas de trabajo diferentes. No obstante, parece existir un substrato metodol\u00f3gico com\u00fan que se manifiesta en ideas y m\u00e9todos de valoraci\u00f3n muy similares. la hip\u00f3tesis central del trabajo es que no existen diferencias sustanciales entre los modelos de valoraci\u00f3n de carteras de cr\u00e9ditos y los modelos de valoraci\u00f3n de carteras de seguros. &#8211; , el trabajo propone valorar diferentes carteras de cr\u00e9dito mediante un modelo actuarial adecuado, centrando la atenci\u00f3n sobre dos ejes: el modelo de agregaci\u00f3n y el tratamiento de la asociaci\u00f3n entr\u00e9 riesgos. Entre los modelos de agregaci\u00f3n utilizados: inversi\u00f3n de la funci\u00f3n caracter\u00edstica, recursi\u00f3n de panjer y simulaci\u00f3n de monte-cario. El tratamiento de la asociaci\u00f3n se realiza mediante c\u00f3pulas de la familia archimedean. Los ejemplos incluyen carteras de seguros de cr\u00e9dito, pr\u00e9stamos y un derivado de cr\u00e9dito de la modalidad first-to-defauk swap. del an\u00e1lisis de los resultados se deduce que es necesario aceptar la hip\u00f3tesis de trabajo: toda cartera de cr\u00e9dito puede ser valorada como una cartera de seguros con una caracter\u00edstica clave, asociaci\u00f3n estad\u00edstica entre los riesgos que la componen. Por otra parte, el modelo de agregaci\u00f3n de riesgos es el principal elemento com\u00fan utilizado en la valoraci\u00f3n de carteras en ambas \u00e1reas.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Credit risk modeling using actuarial methods<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Credit risk modeling using actuarial methods <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Marc Carreras PiJuan <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 25\/06\/2007<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Antonio Alegre Escolano<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: roberto Escuder valles <\/li>\n<li>carles Rafels pallarola (vocal)<\/li>\n<li>eliseo Navarro arribas (vocal)<\/li>\n<li>joan Bonet amat (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Marc Carreras PiJuan Tradicionalmente la investigaci\u00f3n del riesgo financiero de cr\u00e9dito y la investigaci\u00f3n del riesgo asegurador [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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