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Item Details
Title: ECONOMETRICS AND RISK MANAGEMENT
By: Thomas B. Fomby (Editor), Jean-Pierre Fouque (Editor), Knut Solna (Editor)
Format: Hardback

List price: £100.99
Our price: £90.89
Discount:
10% off
You save: £10.10
ISBN 10: 1848551967
ISBN 13: 9781848551961
Availability: Usually dispatched within 1-3 weeks.
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Publisher: EMERALD PUBLISHING LIMITED
Pub. date: 1 December, 2008
Series: Advances in Econometrics 22
Pages: 304
Description: Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.
Synopsis: 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.
Publication: UK
Imprint: Emerald Group Publishing Limited
Returns: Returnable
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ECONOMETRIC ANALYSIS OF FINANCIAL AND ECONOMIC TIME SERIES
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MULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES
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PSYCHOLOGICAL EVALUATION OF THE DEVELOPMENTALLY AND PHYSICALLY DISABLED (HB)
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REGRESSION DISCONTINUITY DESIGNS
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SPATIAL ECONOMETRICS
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VAR MODELS IN MACROECONOMICS - NEW DEVELOPMENTS AND APPLICATIONS
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