Econometrics and risk management / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna.
Material type:
TextSeries: Advances in econometrics ; v. 22.Publication details: Bingley : Emerald, 2008.Description: 1 online resource (x, 291 pages) : illustrationsContent type: - text
- computer
- online resource
- 9781848551978
- 1848551975
- 1848551967
- 9781848551961
- 1280771089
- 9781280771088
- 9786613681850
- 6613681857
- Credit derivatives -- Mathematical models -- Congresses
- Credit -- Mathematical models -- Congresses
- Econometrics -- Congresses
- Risk management -- Mathematical models -- Congresses
- Instruments dérivés de crédit -- Modèles mathématiques -- Congrès
- Crédit -- Modèles mathématiques -- Congrès
- Économétrie -- Congrès
- Gestion du risque -- Modèles mathématiques -- Congrès
- Econometrics
- BUSINESS & ECONOMICS -- Econometrics
- BUSINESS & ECONOMICS -- Statistics
- Gestion d'entreprises
- Economics
- Credit -- Mathematical models
- Econometrics
- Risk management -- Mathematical models
- 330.015195 22
- QH541.15.E22 T74 1999eb
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Includes bibliographical references.
Fast solution of the Gaussian copula model / Bjorn Flesaker -- An empirical study of pricing and hedging collaterlized debt obligation (CDO) / Lijuan Cao [and others] -- The skewed t distribution for portfolio credit risk / Wenbo Hu and Alec N. Kercheval -- Credit risk dependence modeling with dynamic copula : an appllication to CDO tranches / Daniel Totouom and Margaret Armstrong -- Perturbed Gaussian copula / Jean-Pierre Fouque and Xianwen Zhou -- The determinants of default correlations / Kanak Patel and Ricardo Pereira -- Data mining procedures in generalized Cox regressions / Zhen Wei -- Jump diffusion in credit barrier modeling : a partial integro-differential equation approach / Jingyi Zhu -- Bond markets with stochastic volatility / Rafael Santiago, Jean-Pierre Fouque and Knut Solna -- Two-dimensional markovian model for dynamics of aggregate credit loss / Andrei V. Lopatin and Timur Misirpashaev -- Credit derivatives and risk aversion / Tim Leung, Ronnie Sircar and Thaleia Zariphopoulou.
Print version record.
The main theme of this volume is credit risk and credit derivatives. Recent developments in financial markets show that appropriate modeling and quantification of credit risk is fundamental in the context of modern complex structured financial products. The reader will find several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. The volume consists of eleven contributions by both practitioners and theoreticians with expertise in financial markets, in general, and econometrics and mathematical finance in particular. The challenge of modeling defaults and their correlations is addressed, and new results on copula, reduced form and structural models, and the top-down approach are presented. After the so-called subprime crisis that hit global markets in the summer of 2007, the volume is very timely and will be useful to researchers in the area of credit risk.
English.
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