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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Econometrics and Risk Management

Econometrics and Risk Management

Fomby, Thomas B.
Fouque, Jean-Pierre
Solna, Knut

Hardcover

Series: Advances in Econometrics, Book 22

Business GeneralEconomics

ISBN10: 1848551967
ISBN13: 9781848551961
Publisher: Emerald Group Publishing
Published: Dec 1 2008
Pages: 304
Weight: 1.30
Height: 1.10 Width: 6.06 Depth: 9.06
Language: English
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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