Econometrics and risk management
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...
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| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Bingley, U.K.
Emerald
2008
|
| Schriftenreihe: | Advances in econometrics
v. 22 |
| Schlagworte: | |
| Online-Zugang: | DE-92 DE-863 DE-862 DE-824 DE-29 URL des Erstveröffentlichers |
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| 500 | |a 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 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 | ||
| 520 | |a 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 | ||
| 520 | |a 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 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 | ||
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| id | DE-604.BV045302413 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-24T06:55:05Z |
| institution | BVB |
| isbn | 9781848551978 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030689531 |
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| physical | 1 Online-Ressource (viii, 291 p.) |
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| publishDate | 2008 |
| publishDateSearch | 2008 |
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| publisher | Emerald |
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| series | Advances in econometrics |
| series2 | Advances in econometrics |
| spelling | Econometrics and risk management edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna Bingley, U.K. Emerald 2008 1 Online-Ressource (viii, 291 p.) txt rdacontent c rdamedia cr rdacarrier Advances in econometrics v. 22 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 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 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 bisacsh bicssc Business & Economics / Econometrics Business & Economics / Forecasting Econometrics Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2006 Baton Rouge, La. gnd-content Kreditrisiko (DE-588)4114309-7 s Derivat Wertpapier (DE-588)4381572-8 s Risikomanagement (DE-588)4121590-4 s Finanzmathematik (DE-588)4017195-4 s Ökonometrisches Modell (DE-588)4043212-9 s 1\p DE-604 Fouque, Jean-Pierre 1934- Sonstige (DE-588)134219457 oth Fomby, Thomas B. Sonstige (DE-588)170050165 oth Solna, Knut Sonstige oth Erscheint auch als Druck-Ausgabe 978-1-84855-196-1 Erscheint auch als Online-Ausgabe 978-1-84855-196-1 Advances in econometrics v. 22 (DE-604)BV023055191 22 http://www.emeraldinsight.com/0731-9053/22 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Econometrics and risk management Advances in econometrics bisacsh bicssc Business & Economics / Econometrics Business & Economics / Forecasting Econometrics Finanzmathematik (DE-588)4017195-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4114309-7 (DE-588)4121590-4 (DE-588)4043212-9 (DE-588)4381572-8 (DE-588)1071861417 |
| title | Econometrics and risk management |
| title_auth | Econometrics and risk management |
| title_exact_search | Econometrics and risk management |
| title_full | Econometrics and risk management edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| title_fullStr | Econometrics and risk management edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| title_full_unstemmed | Econometrics and risk management edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| title_short | Econometrics and risk management |
| title_sort | econometrics and risk management |
| topic | bisacsh bicssc Business & Economics / Econometrics Business & Economics / Forecasting Econometrics Finanzmathematik (DE-588)4017195-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | bisacsh Business & Economics / Econometrics Business & Economics / Forecasting Econometrics Finanzmathematik Kreditrisiko Risikomanagement Ökonometrisches Modell Derivat Wertpapier Konferenzschrift 2006 Baton Rouge, La. |
| url | http://www.emeraldinsight.com/0731-9053/22 |
| volume_link | (DE-604)BV023055191 |
| work_keys_str_mv | AT fouquejeanpierre econometricsandriskmanagement AT fombythomasb econometricsandriskmanagement AT solnaknut econometricsandriskmanagement |