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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 B
FouqueJean-Pierre SolnaKnut |
| Collana | Advances in econometrics |
| Soggetto topico |
Credit derivatives - Mathematical models
Credit - Mathematical models Econometrics Risk management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-77108-9
9786613681850 1-84855-197-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 CDO
3. 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 2. 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 Appendix 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 Processes 3. 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 3. Calibration |
| Record Nr. | UNINA-9910455535803321 |
| Bingley, : Emerald, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 |
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-9910813914203321 |
| Bingley : , : Emerald, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||