LEADER 03354nam 2200697Ia 450 001 9910140752403321 005 20200520144314.0 010 $a1-118-37473-8 010 $a1-282-78264-9 010 $a9786612782640 010 $a0-470-66715-X 035 $a(CKB)2670000000048093 035 $a(EBL)589167 035 $a(OCoLC)669248997 035 $a(SSID)ssj0000415108 035 $a(PQKBManifestationID)12102510 035 $a(PQKBTitleCode)TC0000415108 035 $a(PQKBWorkID)10409885 035 $a(PQKB)11615874 035 $a(WaSeSS)IndRDA00116014 035 $a(Au-PeEL)EBL589167 035 $a(CaPaEBR)ebr10419008 035 $a(CaONFJC)MIL278264 035 $a(CaSebORM)9780470971437 035 $a(MiAaPQ)EBC589167 035 $a(EXLCZ)992670000000048093 100 $a20100402d2010 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCredit models and the crisis$b[electronic resource] $ea journey into CDOs, Copulas, correlations and dynamic models /$fDamiano Brigo, Andrea Pallavicini, and Roberto Torresetti 205 $a1st edition 210 $aChichester ;$aHoboken, NJ $cJohn Wiley & Sons$d2010 215 $a1 online resource (177 p.) 225 1 $aThe Wiley Finance Series ;$vv.533 300 $aDescription based upon print version of record. 311 $a0-470-97143-6 311 $a0-470-66566-1 320 $aIncludes bibliographical references and index. 327 $aCredit 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; Index 330 $aThe recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk models, claiming that the crisis was due to sophisticated and obscure products being traded, but practitioners have for a long time been aware of the dangers and limitations of credit models. It would seem that a lack of understanding of these models is the root cause of their failures but until now 410 0$aWiley finance series. 606 $aFinance$xMathematical models 606 $aCredit$xMathematical models 606 $aFinancial crises$xMathematical models 615 0$aFinance$xMathematical models. 615 0$aCredit$xMathematical models. 615 0$aFinancial crises$xMathematical models. 676 $a332.01/5195 700 $aBrigo$b Damiano$f1966-$0962258 701 $aPallavicini$b Andrea$0979162 701 $aTorresetti$b Roberto$0979339 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910140752403321 996 $aCredit models and the crisis$92232480 997 $aUNINA