Econometrics and risk management
著者
書誌事項
Econometrics and risk management
(Advances in econometrics : a research annual / editors, R.L. Basmann, George F. Rhodes, Jr, v. 22)
Emerald, JAI, 2008
大学図書館所蔵 全27件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
Fast solution of the Gaussian copula model.
An empirical study of pricing and hedging collateralized debt obligation (CDO).
The skewed t.
Credit risk dependence modeling with dynamic copula: An application to CDO tranches.
Perturbed Gaussian copula.
The determinants of default correlations.
Data mining procedures in generalized Cox regressions.
Jump diffusion in credit barrier modeling: a partial integro-differential equation approach.
Bond markets with stochastic volatility.
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss.
Credit derivatives and risk aversion.
Introduction.
List of Contributors.
Advances in Econometrics.
Econometrics and risk management.
Copyright page.
「Nielsen BookData」 より