Advances in Econometrics, Volume 22: Econometrics of Risk Management

Editors: Thomas B. Fomby (SMU), Jean-Pierre Fouque (UCSB), Knut Solna (UCI)

DOI 10.1016/S0731-9053(2008)22 Series copyright holder: Emerald Publishing Limited ISBN 978-1-84855-196-1 eISBN 978-1-84855-197-8 Book series ISSN 0731-9053

• Introduction, Jean-Pierre Fouque, Thomas B. Fomby, and Knut Solna.
• Fast Solution of the Gaussian Copula Model, Bjorn Flesaker.
• An Empirical Study of Pricing and Hedging Collateralized Debt Obligation (CDO), Lijuan Cao, Zhang Jingqing, Lim Kian Guan, and Zhonghui Zhao.
• The Skewed t Distribution for Portfolio Credit Risk, Wenbo Hu and Alec N.Kercheval.
• Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches, Daniel Totouom and Margaret Armstrong.
• Perturbed Gaussian Copula, Jean-Pierre Fouque and Xianwen Zhou.
• The Determininants of Default Correlations, Kanak Patel and Ricardo Pereira.
• Data Mining Procedures in Generalized Cox Regressions, Zhen Wei.
• Jump Diffusion in Credit Barrier Modeling: A Partial Integro-Differential Equation Approach, Jingyi Zhu.
• Bond Markets with Stochastic Volatility, Rafael DeSantiago, Jean-Pierre Fouque, and Knut Solna.
• Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss, Andrei V. Lopatin and Timur Misirpashaev.
• Credit Derivatives and Risk Aversion, Tim Leung, Ronnie Sircar, and Thaleia Zariphopoulou.