Econometrics and risk management
- نوع فایل : کتاب
- زبان : انگلیسی
- مؤلف : Thomas B Fomby; Jean-Pierre Fouque; Knut Solna
- ناشر : Bingley : Emerald
- چاپ و سال / کشور: 2008
- شابک / ISBN : 9781848551978
Description
Fast solution of the Gaussian copula model / Bjorn Flesaker -- An empirical study of pricing and hedging collaterlized debt obligation (CDO) / Lijuan Cao ... [et al.] -- The skewed t distribution for portfolio credit risk / Wenbo Hu and Alec N. Kercheval -- Credit risk dependence modeling with dynamic copula : an appllication to CDO tranches / Daniel Totouom and Margaret Armstrong -- Perturbed Gaussian copula / Jean-Pierre Fouque and Xianwen Zhou -- The determinants of default correlations / Kanak Patel and Ricardo Pereira -- 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 Santiago, Jean-Pierre Fouque and Knut Solna -- Two-dimensional markovian model for dynamics of aggregate credit loss / Andrei V. Lopatin and Timur Misirpashaev -- Credit derivatives and risk aversion / Tim Leung, Ronnie Sircar and Thaleia Zariphopoulou.
Developments in financial markets show that appropriate modeling and quantification of credit risk is fundamental in the context of modern complex structured financial products. This title helps readers find several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics.
