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

Fast solution of the Gaussian copula model / Bjorn Flesaker -- An empirical study of pricing and hedging collaterlized debt obligation (CDO) / Lijuan Cao ... [et al.] -- 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

著者

Fouque, Jean-Pierre、Fomby, Thomas B、Solna, Knut、Advances in Econometrics Conference (2006 : Louisiana State University)

出版社

JAI Press

発売日

2008年1月発売

価格

価格未定（税込・書誌情報提供：openBD）

ISBN

9781848551961

発売済み