Econometrics and risk management
Éditeur :
Emerald Publishing Limited
ISBN :
9781848551961
Date de publication :
1 déc. 2008
Dimensions :
22,9 x 15,2 x 2,8 cm
Poids :
567 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.