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Econometrics and risk management [[electronic resource] /] / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna
| Econometrics and risk management [[electronic resource] /] / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| Pubbl/distr/stampa | Bingley, : Emerald, 2008 |
| Descrizione fisica | 1 online resource (302 p.) |
| Disciplina | 330.015195 |
| Altri autori (Persone) |
FombyThomas
FouqueJean-Pierre SolnaKnut |
| Collana | Advances in econometrics |
| Soggetto topico |
Business & Economics - Econometrics
Business & Economics - Forecasting Econometrics |
| ISBN |
1-280-77108-9
9786613681850 1-84855-197-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fast 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. |
| Record Nr. | UNINA-9910778081503321 |
| Bingley, : Emerald, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Econometrics and risk management / / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna
| Econometrics and risk management / / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Bingley, : Emerald, 2008 |
| Descrizione fisica | 1 online resource (302 pages) |
| Disciplina | 330.015195 |
| Altri autori (Persone) |
FombyThomas
FouqueJean-Pierre SolnaKnut |
| Collana | Advances in econometrics |
| Soggetto topico |
Business & Economics - Econometrics
Business & Economics - Forecasting Econometrics |
| ISBN |
9786613681850
9781280771088 1280771089 9781848551978 1848551975 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fast 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. |
| Record Nr. | UNINA-9910954524403321 |
| Bingley, : Emerald, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||