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...
Gespeichert in:
| Körperschaft: | |
|---|---|
| Weitere Verfasser: | , , |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
Bingley :
Emerald,
2008.
|
| Schriftenreihe: | Advances in econometrics ;
v. 22. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (x, 291 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781848551978 1848551975 1848551967 9781848551961 1280771089 9781280771088 9786613681850 6613681857 |
| ISSN: | 0731-9053 ; |
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| 505 | 0 | |a Fast solution of the Gaussian copula model / Bjorn Flesaker -- An empirical study of pricing and hedging collaterlized debt obligation (CDO) / Lijuan Cao [and others] -- 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. | |
| 588 | 0 | |a Print version record. | |
| 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. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Credit derivatives |x Mathematical models |v Congresses. | |
| 650 | 0 | |a Credit |x Mathematical models |v Congresses. | |
| 650 | 0 | |a Econometrics |v Congresses. | |
| 650 | 0 | |a Risk management |x Mathematical models |v Congresses. | |
| 650 | 6 | |a Instruments dérivés de crédit |x Modèles mathématiques |v Congrès. | |
| 650 | 6 | |a Crédit |x Modèles mathématiques |v Congrès. | |
| 650 | 6 | |a Économétrie |v Congrès. | |
| 650 | 6 | |a Gestion du risque |x Modèles mathématiques |v Congrès. | |
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| 650 | 7 | |a Credit |x Mathematical models |2 fast | |
| 650 | 7 | |a Econometrics |2 fast | |
| 650 | 7 | |a Risk management |x Mathematical models |2 fast | |
| 655 | 7 | |a Conference papers and proceedings |2 fast | |
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| 700 | 1 | |a Fouque, Jean-Pierre. |0 http://id.loc.gov/authorities/names/nr97006131 | |
| 700 | 1 | |a Solna, Knut. |0 http://id.loc.gov/authorities/names/nb2009002248 | |
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| contents | Fast solution of the Gaussian copula model / Bjorn Flesaker -- An empirical study of pricing and hedging collaterlized debt obligation (CDO) / Lijuan Cao [and others] -- 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. |
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| genre | Conference papers and proceedings fast |
| genre_facet | Conference papers and proceedings |
| id | ZDB-4-EBA-ocn535128174 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:16:57Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/nb2009002245 |
| isbn | 9781848551978 1848551975 1848551967 9781848551961 1280771089 9781280771088 9786613681850 6613681857 |
| issn | 0731-9053 ; |
| language | English |
| oclc_num | 535128174 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (x, 291 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Emerald, |
| record_format | marc |
| series | Advances in econometrics ; |
| series2 | Advances in econometrics, |
| spelling | Advances in Econometrics Conference (2006 : Louisiana State University) http://id.loc.gov/authorities/names/nb2009002245 Econometrics and risk management / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna. Bingley : Emerald, 2008. 1 online resource (x, 291 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Advances in econometrics, 0731-9053 ; v. 22 Includes bibliographical references. Fast solution of the Gaussian copula model / Bjorn Flesaker -- An empirical study of pricing and hedging collaterlized debt obligation (CDO) / Lijuan Cao [and others] -- 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. Print version record. 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. English. Credit derivatives Mathematical models Congresses. Credit Mathematical models Congresses. Econometrics Congresses. Risk management Mathematical models Congresses. Instruments dérivés de crédit Modèles mathématiques Congrès. Crédit Modèles mathématiques Congrès. Économétrie Congrès. Gestion du risque Modèles mathématiques Congrès. Econometrics. bicssc BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Gestion d'entreprises. eclas Economics. eflch Credit Mathematical models fast Econometrics fast Risk management Mathematical models fast Conference papers and proceedings fast Fomby, Thomas B. http://id.loc.gov/authorities/names/n83189178 Fouque, Jean-Pierre. http://id.loc.gov/authorities/names/nr97006131 Solna, Knut. http://id.loc.gov/authorities/names/nb2009002248 Print version: Advances in Econometrics Conference (2006 : Louisiana State University). Econometrics and risk management. Bingley : Emerald, 2008 9781848551961 (OCoLC)300400293 Advances in econometrics ; v. 22. http://id.loc.gov/authorities/names/no98010995 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=283960 Volltext |
| spellingShingle | Econometrics and risk management / Advances in econometrics ; Fast solution of the Gaussian copula model / Bjorn Flesaker -- An empirical study of pricing and hedging collaterlized debt obligation (CDO) / Lijuan Cao [and others] -- 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. Credit derivatives Mathematical models Congresses. Credit Mathematical models Congresses. Econometrics Congresses. Risk management Mathematical models Congresses. Instruments dérivés de crédit Modèles mathématiques Congrès. Crédit Modèles mathématiques Congrès. Économétrie Congrès. Gestion du risque Modèles mathématiques Congrès. Econometrics. bicssc BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Gestion d'entreprises. eclas Economics. eflch Credit Mathematical models fast Econometrics fast Risk management Mathematical models fast |
| 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 | Credit derivatives Mathematical models Congresses. Credit Mathematical models Congresses. Econometrics Congresses. Risk management Mathematical models Congresses. Instruments dérivés de crédit Modèles mathématiques Congrès. Crédit Modèles mathématiques Congrès. Économétrie Congrès. Gestion du risque Modèles mathématiques Congrès. Econometrics. bicssc BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Gestion d'entreprises. eclas Economics. eflch Credit Mathematical models fast Econometrics fast Risk management Mathematical models fast |
| topic_facet | Credit derivatives Mathematical models Congresses. Credit Mathematical models Congresses. Econometrics Congresses. Risk management Mathematical models Congresses. Instruments dérivés de crédit Modèles mathématiques Congrès. Crédit Modèles mathématiques Congrès. Économétrie Congrès. Gestion du risque Modèles mathématiques Congrès. Econometrics. BUSINESS & ECONOMICS Econometrics. BUSINESS & ECONOMICS Statistics. Gestion d'entreprises. Economics. Credit Mathematical models Econometrics Risk management Mathematical models Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=283960 |
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