05410nam 2200733Ia 450 991045553580332120200520144314.01-280-77108-997866136818501-84855-197-5(CKB)1000000000765425(EBL)453267(OCoLC)535128174(SSID)ssj0000336981(PQKBManifestationID)11273637(PQKBTitleCode)TC0000336981(PQKBWorkID)10284112(PQKB)11345397(MiAaPQ)EBC453267(Au-PeEL)EBL453267(CaPaEBR)ebr10315738(CaONFJC)MIL368185(EXLCZ)99100000000076542520090114d2008 uy 0engur|n|---|||||txtccrEconometrics and risk management[electronic resource] /edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut SolnaBingley Emerald20081 online resource (302 p.)Advances in econometrics,0731-9053 ;v. 22Description based upon print version of record.1-84855-196-7 Includes bibliographical references.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 CDO3. 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 Skewed t Distribution; 8. Summary and Concluding Remarks; References; Chapter 4. Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches; 1. Introduction2. Dynamic Archimedean Copula Processes3. Specific Dynamic Archimedean Copula Process; 4. Pricing of a Correlation Product: CDO; 5. Conclusions; Notes; References; Chapter 5. Perturbed Gaussian Copula; 1. Asymptotics; 2. Density of the Perturbed Copula; 3. Conclusion; References; Appendix. Explicit Formulas; Chapter 6. The Determinants of Default Correlations; 1. Introduction; 2. A Brief Digression on Measures of Dependence; 3. Default Risk and Correlations; 4. Data and Methodology; 5. Empirical Evidence; 6. Conclusion; Notes; Acknowledgment; References; Appendix A. Structural ModelsAppendix B. Factor AnalysisChapter 7. Data Mining Procedures in Generalized Cox Regressions; 1. Introduction; 2. Part I: Generalized Cox Regression with Time-Independent Covariates; 3. Part II: Generalized Cox Regression with Time-Dependent and Hidden Covariates; 4. Concluding Remarks; Notes; Acknowledgments; References; Appendix A. Counting and Intensity Processes; Appendix B. Gamma and Variance Gamma Processes; Chapter 8. Jump Diffusion in Credit Barrier Modeling: A Partial Integro-Differential Equation Approach; 1. Introduction; 2. Modeling Credit Index with Lévy Processes3. Credit Rating Migration Model4. Calibration to Historical Rating Transition Matrices; 5. Change to the Risk-Neutral Measure; 6. Conclusion; Acknowledgments; References; Chapter 9. Bond Markets with Stochastic Volatility; 1. Introduction; 2. Pricing Bonds; 3. Affine Models; 4. The Vasicek Model with Stochastic Volatility; 5. The Bond Price with Stochastic Volatility; 6. Group Parameter Reduction; 7. Calibration of the Model; 8. Connection to Default Able Bonds; References; Chapter 10. Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss; 1. Introduction; 2. The Model3. CalibrationCovers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and reAdvances in econometrics ;v. 22.Credit derivativesMathematical modelsCongressesCreditMathematical modelsCongressesEconometricsCongressesRisk managementMathematical modelsCongressesElectronic books.Credit derivativesMathematical modelsCreditMathematical modelsEconometricsRisk managementMathematical models330.015195Fomby Thomas B101813Fouque Jean-Pierre133104Solna Knut951282MiAaPQMiAaPQMiAaPQBOOK9910455535803321Econometrics and risk management2150402UNINA