The Econometrics of Individual Risk: Credit, Insurance, and Marketing

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Princeton University Press, Jul 24, 2011 - Business & Economics - 256 pages

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.

 

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Contents

1 Introduction
1
2 Dichotomous Risk
7
3 Estimation
23
4 Score Performance
43
5 Count Data Models
61
6 Durations
85
7 Endogenous Selection and Partial Observability
113
8 Transition Models
129
9 Multiple Scores
149
10 Serial Dependence in Longitudinal Data
181
11 Management of Credit Risk
209
Index
239
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About the author (2011)

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).

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