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010   $a9786613681850
010   $a1-84855-197-5
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100   $a20101115d2008      uy             0
101 0 $aeng
135   $aurun|||||||||
181   $ctxt
182   $cc
183   $acr
200 00$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   $aFast 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 equation approach / 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 : an application to CDO tranches / Daniel Totouom, Margaret Armstrong -- Introduction / Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna.
330   $aThe main theme of this volume is credit risk and credit derivatives. Recent developments in financial markets show that appropriate modeling and quantification of credit risk is fundamental in the context of modern complex structured financial products. The reader will find several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. The volume consists of eleven contributions by both practitioners and theoreticians with expertise in financial markets, in general, and econometrics and mathematical finance in particular. The challenge of modeling defaults and their correlations is addressed, and new results on copula, reduced form and structural models, and the top-down approach are presented. After the so-called subprime crisis that hit global markets in the summer of 2007, the volume is very timely and will be useful to researchers in the area of credit risk.
410  0$aAdvances in econometrics ;$vv. 22.
606   $aBusiness & Economics$xEconometrics$2bisacsh
606   $aBusiness & Economics$xForecasting$2bisacsh
606   $aEconometrics$2bicssc
606   $aEconometrics
615  7$aBusiness & Economics$xEconometrics.
615  7$aBusiness & Economics$xForecasting.
615  7$aEconometrics.
615  0$aEconometrics.
676   $a330.015195
701   $aFomby$b Thomas$0101813
701   $aFouque$b Jean-Pierre$0133104
701   $aSolna$b Knut$01561193
801  0$bUtOrBLW
801  1$bUtOrBLW
906   $aBOOK
912   $a9910778081503321
996   $aEconometrics and risk management$93827706
997   $aUNINA