rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Econometrics and risk management
  name:
    name part: Fomby, Thomas.
  name:
    name part: Fouque, Jean-Pierre.
  name:
    name part: Solna, Knut.
  name:
    name part: Emerald Publishing Group
  type of resource: text
  genre: Electronic books.
  origin info:
    place:
      place term: enk
    date issued: 2008
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (viii, 291 pages).
  abstract: 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.
  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.
  note: edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna.
  note: Electronic resource.
  subject:
    topic: Business & Economics
    topic: Econometrics
  subject:
    topic: Business & Economics
    topic: Forecasting
  subject:
    topic: Econometrics
  subject:
    topic: Econometrics
  classification: HB139 .E26 2008
  classification: 330.015195
  classification: 330.43
  related item:
    title info:
      title: Advances in econometrics ; v. 22
  identifier: 9781848551978 (electronic bk.) :
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: UtOrBLW
    record creation date: 101115
    record change date: 20190329194057.0
    record identifier: in00002700591