The main theme of this quantity is credit threat and credit score derivatives. Recent developments in monetary markets show that acceptable modeling and quantification of credit score threat is prime in the context of recent advanced structured financial products. The reader will discover a number of points of view on credit score danger when looked at from the perspective of Econometrics and Monetary Mathematics. The quantity consists of 11 contributions by each practitioners and theoreticians with expertise in financial markets, normally, and econometrics and mathematical finance in particular. The challenge of modeling defaults and their correlations is addressed, and new results on copula, lowered type and structural models, and the top-down approach are presented. After the so-referred to as subprime crisis that hit global markets in the summer of 2007, the quantity may be very timely and shall be useful to researchers in the space of credit risk.
More details about this book
or
Download Econometrics and Risk Management PDF Ebook
