Econometrics and Risk Management
1st Edition
Published on 1. December 2008
304 pages
978-1-84855-197-8 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Bingley
United Kingdom
Target group
Professional and scholarly
File size
4,22 MB
ISBN-13
978-1-84855-197-8 (9781848551978)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Thomas B. Fomby | Jean-Pierre Fouque | Knut Solna
Econometrics and Risk Management
Book
12/2008
Emerald Group Publishing Limited
€201.80
Shipment within 3-4 weeks
Content
Fast solution of the Gaussian copula model.
An empirical study of pricing and hedging collateralized debt obligation (CDO).
The skewed t.
Credit risk dependence modeling with dynamic copula: An application to CDO tranches.
Perturbed Gaussian copula.
The determinants of default correlations.
Data mining procedures in generalized Cox regressions.
Jump diffusion in credit barrier modeling: a partial integro-differential equation approach.
Bond markets with stochastic volatility.
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss.
Credit derivatives and risk aversion.
Introduction.
List of Contributors.
Advances in Econometrics.
Econometrics and risk management.
Copyright page.
An empirical study of pricing and hedging collateralized debt obligation (CDO).
The skewed t.
Credit risk dependence modeling with dynamic copula: An application to CDO tranches.
Perturbed Gaussian copula.
The determinants of default correlations.
Data mining procedures in generalized Cox regressions.
Jump diffusion in credit barrier modeling: a partial integro-differential equation approach.
Bond markets with stochastic volatility.
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss.
Credit derivatives and risk aversion.
Introduction.
List of Contributors.
Advances in Econometrics.
Econometrics and risk management.
Copyright page.
