The Resource Econometrics and risk management, edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna, (electronic resource/)

Econometrics and risk management, edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna, (electronic resource/)

Label
Econometrics and risk management
Title
Econometrics and risk management
Statement of responsibility
edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna
Creator
Contributor
Subject
Genre
Language
eng
Summary
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
Member of
Cataloging source
CaPaEBR
Dewey number
330.015195
Illustrations
illustrations
Index
no index present
LC call number
QH541.15.E22
LC item number
T74 1999eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Advances in econometrics,
Series volume
v. 22
Label
Econometrics and risk management, edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna, (electronic resource/)
Link
http://library.quincycollege.edu:2048/login?url=http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=283960
Instantiates
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Control code
ocn535128174
Dimensions
unknown
Extent
1 online resource (access may be restricted)
Form of item
online
Governing access note
Access restricted to subscribing institution
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
eBooks on EBSCOhost
Specific material designation
remote
Label
Econometrics and risk management, edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna, (electronic resource/)
Link
http://library.quincycollege.edu:2048/login?url=http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=283960
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Control code
ocn535128174
Dimensions
unknown
Extent
1 online resource (access may be restricted)
Form of item
online
Governing access note
Access restricted to subscribing institution
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
eBooks on EBSCOhost
Specific material designation
remote

Library Locations

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