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

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. Risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be devastating as macroevents such as share-price fluctuations. This work provides an econometric methodology for quantifying and managing this underappreciated but important variety of risk. It is of interest to graduate students in economics. Contents Preface 1. Introduction 2. Dichotomous Risk 3. Estimation 4. Score Performance 5. Count Data Models 6. Durations 7. Endogenous Selection and Partial Observability 8. Transition Models 9. Multiple Scores 10. Serial Dependence in Longitudinal Data 11. Management of Credit Risk Index