Front Cover -- Econometrics and Risk Management -- Copyright Page -- Contents -- List of Contributors -- Introduction -- Chapter 1. Fast Solution of the Gaussian Copula Model -- 1. Introduction -- 2. The Synthetic CDO Structure -- 3. Valuation Assumptions -- 4. The Model -- 5. Pricing -- 6. A Decomposition -- 7. Intrinsic Simplicity of the Intrinsic Value -- 8. Time Stability of the Time Value -- 9. The Time Value Computation -- References -- Chapter 2. An Empirical Study of Pricing and Hedging Collateralized Debt Obligation (CDO) -- 1. Introduction to Collateralized Debt Obligation -- 2. Methodology of Pricing CDO -- 3. Methodology of Calculating Default Delta Sensitivity -- 4. Empirical Results -- 5. Conclusions -- Note -- References -- Chapter 3. The Skewed t Distribution for Portfolio Credit Risk -- 1. Introduction -- 2. Skewed t Distributions and the EM Algorithm -- 3. Copulas -- 4. Measures of Dependence -- 5. Single Name Credit Risk -- 6. Portfolio Credit Risk -- 7. Pricing of Basket Credit Default Swaps: Elliptical Copulas Versus the Skewed t Distribution -- 8. Summary and Concluding Remarks -- References -- Chapter 4. Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches -- 1. Introduction -- 2. Dynamic Archimedean Copula Processes -- 3. Specific Dynamic Archimedean Copula Process -- 4. Pricing of a Correlation Product: CDO -- 5. Conclusions -- Notes -- References -- Chapter 5. Perturbed Gaussian Copula -- 1. Asymptotics -- 2. Density of the Perturbed Copula -- 3. Conclusion -- References -- Appendix. Explicit Formulas -- Chapter 6. The Determinants of Default Correlations -- 1. Introduction -- 2. A Brief Digression on Measures of Dependence -- 3. Default Risk and Correlations -- 4. Data and Methodology -- 5. Empirical Evidence -- 6. Conclusion -- Notes -- Acknowledgment -- References.

Appendix A. Structural Models -- Appendix B. Factor Analysis -- Chapter 7. Data Mining Procedures in Generalized Cox Regressions -- 1. Introduction -- 2. Part I: Generalized Cox Regression with Time-Independent Covariates -- 3. Part II: Generalized Cox Regression with Time-Dependent and Hidden Covariates -- 4. Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix A. Counting and Intensity Processes -- Appendix B. Gamma and Variance Gamma Processes -- Chapter 8. Jump Diffusion in Credit Barrier Modeling: A Partial Integro-Differential Equation Approach -- 1. Introduction -- 2. Modeling Credit Index with Lévy Processes -- 3. Credit Rating Migration Model -- 4. Calibration to Historical Rating Transition Matrices -- 5. Change to the Risk-Neutral Measure -- 6. Conclusion -- Acknowledgments -- References -- Chapter 9. Bond Markets with Stochastic Volatility -- 1. Introduction -- 2. Pricing Bonds -- 3. Affine Models -- 4. The Vasicek Model with Stochastic Volatility -- 5. The Bond Price with Stochastic Volatility -- 6. Group Parameter Reduction -- 7. Calibration of the Model -- 8. Connection to Default Able Bonds -- References -- Chapter 10. Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss -- 1. Introduction -- 2. The Model -- 3. Calibration -- 4. Dynamic Applications -- 5. Conclusions -- Notes -- Acknowledgments -- References -- Appendix A. Single Tranche CDO -- Appendix B. Local Volatility and Local Intensity -- Appendix C. Discretization of Intensity -- Chapter 11. Credit Derivatives and Risk Aversion -- 1. Introduction -- 2. Indifference Valuation for Defaultable Bonds -- 3. The Yield Spread -- 4. Conclusions -- Acknowledgments -- References.