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008			101115s2008 enk o 000 0 eng d
020			_a9781848551978 (electronic bk.) : _c£69.95 ; €105.95 ; $134.95
040			_aUtOrBLW _cUtOrBLW
050		4	_aHB139 _b.E26 2008
072		7	_aKCH _2bicssc
072		7	_aECO _2bicssc
072		7	_aBUS021000 _2bisacsh
072		7	_aBUS086000 _2bisacsh
080			_a330.43
082	0	4	_a330.015195 _222
245	0	0	_aEconometrics and risk management _h[electronic resource] / _cedited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna.
260			_aBingley, U.K. : _bEmerald, _c2008.
300			_a1 online resource (viii, 291 p.).
490	1		_aAdvances in econometrics, _x0731-9053 ; _vv. 22
505	0		_aFast 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.
520			_aThe 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.
588	0		_aPrint version record
650		7	_aBusiness & Economics _xEconometrics. _2bisacsh
650		7	_aBusiness & Economics _xForecasting. _2bisacsh
650		7	_aEconometrics. _2bicssc
650		0	_aEconometrics.
700	1		_aFomby, Thomas.
700	1		_aFouque, Jean-Pierre.
700	1		_aSolna, Knut.
776	1		_z9781848551961
830		0	_aAdvances in econometrics ; _vv. 22.
856	4	0	_uhttps://www.emerald.com/insight/publication/doi/10.1016/S0731-9053(2008)22
913			_1BMEbacklist
999			_c31495 _d31495