Econometrics and risk management
The 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...
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| Other Authors | , , |
|---|---|
| Format | Electronic eBook |
| Language | English |
| Published |
Bingley, U.K. :
Emerald,
2008.
|
| Series | Advances in econometrics ;
v. 22. |
| Subjects | |
| Online Access | Full text |
| ISBN | 9781848551978 |
| ISSN | 0731-9053 ; |
| DOI | 10.1016/S0731-9053(2008)22 |
| Physical Description | 1 online resource (viii, 291 p.). |
Cover
Table of Contents:
- 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.