03637nam 2200817Ia 450 991082007690332120200520144314.0978661278264097811183747331118374738978128278264812827826499780470667156047066715X(CKB)2670000000048093(EBL)589167(OCoLC)669248997(SSID)ssj0000415108(PQKBManifestationID)12102510(PQKBTitleCode)TC0000415108(PQKBWorkID)10409885(PQKB)11615874(WaSeSS)IndRDA00116014(Au-PeEL)EBL589167(CaPaEBR)ebr10419008(CaONFJC)MIL278264(OCoLC)794597001(OCoLC)ocn794597001 (OCoLC)505422857(FINmELB)ELB178533(CaSebORM)9780470971437(MiAaPQ)EBC589167(Perlego)1007485(EXLCZ)99267000000004809320100402d2010 uy 0engurcn|||||||||txtccrCredit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models /Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti1st editionChichester ;Hoboken, NJ John Wiley & Sons20101 online resource (177 p.)The Wiley Finance Series ;v.533Description based upon print version of record.9780470971437 0470971436 9780470665664 0470665661 Includes bibliographical references and index.Credit Models and the Crisis; Contents; Preface; Acknowledgements; About the Authors; Notation and List of Symbols; 1 Introduction: Credit Modelling Pre- and In-Crisis; 2 Market Quotes; 3 Gaussian Copula Model and Implied Correlation; 4 Consistency across Capital Structure: Implied Copula; 5 Consistency across Capital Structure and Maturities: Expected Tranche Loss; 6 A Fully Consistent Dynamical Model: Generalized-Poisson Loss Model; 7 Application to More Recent Data and the Crisis; 8 Final Discussion and Conclusions; Bibliography; IndexThe recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk models, claiming that the crisis was due to sophisticated and obscure products being traded, but practitioners have for a long time been aware of the dangers and limitations of credit models. It would seem that a lack of understanding of these models is the root cause of their failures but until nowWiley finance series.FinanceMathematical modelsCreditMathematical modelsFinancial crisesMathematical modelsFinanceMathematical models.CreditMathematical models.Financial crisesMathematical models.332.01/5195Brigo Damiano1966-1627046Pallavicini Andrea979162Torresetti Roberto1659361MiAaPQMiAaPQMiAaPQBOOK9910820076903321Credit models and the crisis4013959UNINA