LEADER 05410nam 2200733Ia 450 001 9910455535803321 005 20200520144314.0 010 $a1-280-77108-9 010 $a9786613681850 010 $a1-84855-197-5 035 $a(CKB)1000000000765425 035 $a(EBL)453267 035 $a(OCoLC)535128174 035 $a(SSID)ssj0000336981 035 $a(PQKBManifestationID)11273637 035 $a(PQKBTitleCode)TC0000336981 035 $a(PQKBWorkID)10284112 035 $a(PQKB)11345397 035 $a(MiAaPQ)EBC453267 035 $a(Au-PeEL)EBL453267 035 $a(CaPaEBR)ebr10315738 035 $a(CaONFJC)MIL368185 035 $a(EXLCZ)991000000000765425 100 $a20090114d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEconometrics and risk management$b[electronic resource] /$fedited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna 210 $aBingley $cEmerald$d2008 215 $a1 online resource (302 p.) 225 1 $aAdvances in econometrics,$x0731-9053 ;$vv. 22 300 $aDescription based upon print version of record. 311 $a1-84855-196-7 320 $aIncludes bibliographical references. 327 $aFront 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 327 $a3. 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. Introduction 327 $a2. 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 Models 327 $aAppendix 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 Le?vy Processes 327 $a3. 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 Model 327 $a3. Calibration 330 $aCovers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and re 410 0$aAdvances in econometrics ;$vv. 22. 606 $aCredit derivatives$xMathematical models$vCongresses 606 $aCredit$xMathematical models$vCongresses 606 $aEconometrics$vCongresses 606 $aRisk management$xMathematical models$vCongresses 608 $aElectronic books. 615 0$aCredit derivatives$xMathematical models 615 0$aCredit$xMathematical models 615 0$aEconometrics 615 0$aRisk management$xMathematical models 676 $a330.015195 701 $aFomby$b Thomas B$0101813 701 $aFouque$b Jean-Pierre$0133104 701 $aSolna$b Knut$0951282 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910455535803321 996 $aEconometrics and risk management$92150402 997 $aUNINA