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Record Nr. |
UNINA9910455535803321 |
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Titolo |
Econometrics and risk management [[electronic resource] /] / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
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Pubbl/distr/stampa |
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ISBN |
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1-280-77108-9 |
9786613681850 |
1-84855-197-5 |
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Descrizione fisica |
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1 online resource (302 p.) |
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Collana |
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Advances in econometrics, , 0731-9053 ; ; v. 22 |
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Altri autori (Persone) |
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FombyThomas B |
FouqueJean-Pierre |
SolnaKnut |
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Disciplina |
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Soggetti |
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Credit derivatives - Mathematical models |
Credit - Mathematical models |
Econometrics |
Risk management - Mathematical models |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Front Cover; Econometrics and Risk Management; Copyright Page; Contents; List of Contributors; Introduction; Chapter 1. Fast Solution of the Gaussian Copula Model; 1. Introduction; 2. The Synthetic CDO Structure; 3. Valuation Assumptions; 4. The Model; 5. Pricing; 6. A Decomposition; 7. Intrinsic Simplicity of the Intrinsic Value; 8. Time Stability of the Time Value; 9. The Time Value Computation; References; Chapter 2. An Empirical Study of Pricing and Hedging Collateralized Debt Obligation (CDO); 1. Introduction to Collateralized Debt Obligation; 2. Methodology of Pricing CDO |
3. Methodology of Calculating Default Delta Sensitivity4. Empirical Results; 5. Conclusions; Note; References; Chapter 3. The Skewed t Distribution for Portfolio Credit Risk; 1. Introduction; 2. Skewed t Distributions and the EM Algorithm; 3. Copulas; 4. Measures of Dependence; 5. Single Name Credit Risk; 6. Portfolio Credit Risk; 7. Pricing of Basket Credit Default Swaps: Elliptical Copulas Versus the |
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