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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| Format: | E-Book |
| Sprache: | English |
| Veröffentlicht: |
Bingley, U.K.
Emerald
2008
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| Schriftenreihe: | Advances in econometrics
v. 22 |
| Online-Zugang: | Volltext |
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| 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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| 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 Seiten) txt c cr Advances in econometrics 0731-9053 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. Fomby, Thomas Fouque, Jean-Pierre Solna, Knut Erscheint auch als Druck-Ausgabe 9781848551961 TUM01 ZDB-55-ELD TUM_PDA_ELD https://doi.org/10.1016/S0731-9053(2008)22 Volltext |
| spellingShingle | Econometrics and risk management |
| 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 |
| url | https://doi.org/10.1016/S0731-9053(2008)22 |
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