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Econometrics and risk management

Record Type:	Electronic resources : Monograph/item
Title/Author:	Econometrics and risk management/ edited byJean-Pierre Fouque, Thomas B. Fomby, Knut Solna.
other author:	Fomby, Thomas.
Published:	Bingley, U.K. :Emerald, : 2008.,
Description:	1 online resource (viii, 291 p.).
Subject:	Business & Economics - Econometrics. -
Online resource:	http://www.emeraldinsight.com/0731-9053/22
ISBN:	9781848551978 (electronic bk.)

Econometrics and risk management
Econometrics and risk management[electronic resource] /edited byJean-Pierre Fouque, Thomas B. Fomby, Knut Solna. - Bingley, U.K. :Emerald,2008. - 1 online resource (viii, 291 p.). - Advances in econometrics,v. 220731-9053 ;. - Advances in econometrics ;v. 27, pt. 1..

Fast solution of the Gaussian copula model / Bjorn Flesaker -- Perturbed Gaussian copula / Jean-Pierre Fouque, Xianwen Zhou -- The determinants of default correlations / Kanak Patel, Ricardo Pereira -- An empirical study of pricing and hedging collateralized debt obligation (CDO) / Lijuan Cao, Zhang Jingqing, Lim Kian Guan, Zhonghui Zhao -- Data mining procedures in generalized Cox regressions / Zhen Wei -- Jump diffusion in credit barrier modeling : a partial integro-differential equationapproach / Jingyi Zhu -- Bond markets with stochastic volatility / Rafael DeSantiago, Jean-Pierre Fouque, Knut Solna -- Two-dimensional Markovian model for dynamics of aggregate credit loss / Andrei V. Lopatin, Timur Misirpashaev -- Credit derivatives and risk aversion / Tim Leung, Ronnie Sircar, Thaleia Zariphopoulou -- The skewed t / Wenbo Hu, Alec N. Kercheval -- Credit risk dependence modeling with dynamic copula : anapplication to CDO tranches / Daniel Totouom, Margaret Armstrong -- Introduction / Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna.

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.

ISBN: 9781848551978 (electronic bk.)Subjects--Topical Terms:

332662
Business & Economics
--Econometrics.

LC Class. No.: HB139 / .E26 2008

Dewey Class. No.: 330.015195

Universal Decimal Class. No.: 330.43

Econometrics and risk management
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520 $a 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.
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