A01=Christian Gourieroux
A01=Joann Jasiak
Age Group_Uncategorized
Age Group_Uncategorized
Approximation
Author_Christian Gourieroux
Author_Joann Jasiak
automatic-update
Autoregressive model
Category1=Non-Fiction
Category=KCH
Category=KFF
Category=KJS
Coefficient
Computation
Conditional expectation
Conditional probability
Conditional probability distribution
COP=United States
Count data
Covariate
Credit (finance)
Credit card
Credit history
Credit risk
Credit score
Cumulative distribution function
Customer
Default Rate
Delivery_Delivery within 10-20 working days
Dummy variable (statistics)
Econometric model
Economics
eq_bestseller
eq_business-finance-law
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Error term
Estimation
Estimator
Exponential distribution
Exponential function
Gamma distribution
Income
Independent and identically distributed random variables
Indicator function
Inference
Insurance
Insurance policy
Interest rate
Joint probability distribution
Language_English
Latent variable
Level of measurement
Likelihood function
Likelihood-ratio test
Linear discriminant analysis
Linear regression
Logarithm
Logistic regression
Logit
Marginal distribution
Marketing
Markov chain
Multivariate normal distribution
Normal distribution
PA=Available
Panel data
Parameter
Parametric model
Payment
Prediction
Price_€50 to €100
Probability
Probability distribution
Probability of default
Probit model
PS=Active
Quantity
Random variable
Ranking (information retrieval)
Regression analysis
Regression model
Risk assessment
Risk management
softlaunch
Statistics
Survival analysis
Total cost
Variable (mathematics)
Variance
Yield curve
Product details
- ISBN 9780691168210
- Weight: 369g
- Dimensions: 152 x 235mm
- Publication Date: 28 Jul 2015
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Paperback
- Language: English
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The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar.
The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.
Christian Gourieroux is Director of the Laboratory for Finance and Insurance at the Center for Research in Economics and Statistics (CREST) in Paris, and Professor at the University of Toronto. He is the coauthor of Statistics and Econometric Models, Simulation-Based Econometric Methods, and Time Series and Dynamic Models. Joann Jasiak is Associate Professor of Economics at York University, Toronto. She and Christian Gourieroux are the authors of Financial Econometrics (Princeton).
