Author Description

Marco Avellaneda of the Courant Institute New York, presents a collection of authoritative chapters written by the foremost innovators in event risk. Combining the insights of the academic community and the leading market practitioners, this new volume fills a vital information gap in this increasingly important field. Provides a mix of both quantitative empirical mathematical research and models, and theoretical qualitative pieces and case studies from the leading practitioners in the field. Illustrates how standard models fail to capture the effects of discrete risk events. Looks at event risk in equity derivatives markets, devaluation risk and other situations in which standard models based on random walk models or stochastic differential equations break down due to event risk. Topics covered include: - Credit event risk, credit risk volatility and default event risk - Event risk in corporate bonds - Event risk in municipal bonds - Stress testing and predicting event risk - Event risk in hedge funds