LEADER 04145nam 2200685Ia 450 001 9910813914203321 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(UtOrBLW)bslw06311828 035 $a(EXLCZ)991000000000765425 100 $a20090114d2008 uy 0 101 0 $aeng 135 $aurun||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aEconometrics and risk management /$fedited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna 205 $aFirst edition. 210 $aBingley $cEmerald$d2008 215 $a1 online resource (302 pages) 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 $aCredit derivatives$xMathematical models$vCongresses 606 $aCredit$xMathematical models$vCongresses 606 $aEconometrics$vCongresses 606 $aRisk management$xMathematical models$vCongresses 615 0$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$01684058 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910813914203321 996 $aEconometrics and risk management$94055321 997 $aUNINA