Econometrics and Risk Management

ISBN-13: 9781848551961 / Angielski / Twarda / 2008 / 304 str.

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

Opis

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.