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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Yes, you can access Econometrics and Risk Management by Thomas B. Fomby,Jean-Pierre Fouque,Knut Solna, Thomas B. Fomby, Jean-Pierre Fouque, Knut Solna in PDF and/or ePUB format, as well as other popular books in Economics & Econometrics. We have over one million books available in our catalogue for you to explore.

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Emerald Group Publishing Limited

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Index

Front Cover
Econometrics and Risk Management
Copyright Page
Contents
List of Contributors
Introduction
Chapter 1. Fast Solution of the Gaussian Copula Model
Chapter 2. An Empirical Study of Pricing and Hedging Collateralized Debt Obligation (CDO)
Chapter 3. The Skewed t Distribution for Portfolio Credit Risk
Chapter 4. Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches
Chapter 5. Perturbed Gaussian Copula
Chapter 6. The Determinants of Default Correlations
Chapter 7. Data Mining Procedures in Generalized Cox Regressions
Chapter 8. Jump Diffusion in Credit Barrier Modeling: A Partial Integro-Differential Equation Approach
Chapter 9. Bond Markets with Stochastic Volatility
Chapter 10. Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
Chapter 11. Credit Derivatives and Risk Aversion

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