LEADER 05206nam 22006374a 450 001 9910451487003321 005 20200520144314.0 010 $a1-281-91882-2 010 $a9786611918828 010 $a981-270-950-9 035 $a(CKB)1000000000409081 035 $a(EBL)1681339 035 $a(OCoLC)879025125 035 $a(SSID)ssj0000132199 035 $a(PQKBManifestationID)11134621 035 $a(PQKBTitleCode)TC0000132199 035 $a(PQKBWorkID)10028130 035 $a(PQKB)10051386 035 $a(MiAaPQ)EBC1681339 035 $a(WSP)00006559 035 $a(Au-PeEL)EBL1681339 035 $a(CaPaEBR)ebr10255687 035 $a(CaONFJC)MIL191882 035 $a(EXLCZ)991000000000409081 100 $a20080414d2008 uy 0 101 0 $aeng 135 $aurcuu|||uu||| 181 $ctxt 182 $cc 183 $acr 200 00$aCredit correlation$b[electronic resource] $elife after copulas /$feditors, Alexander Lipton, Andrew Rennie 210 $aNew Jersey $cWorld Scientific$dc2008 215 $a1 online resource (178 p.) 300 $aReprinted from the International journal of theoretical and applied finance, v. 10, no. 4 (June 2007). 311 $a981-270-949-5 320 $aIncludes bibliographical references. 327 $aCONTENTS; Introduction; Levy Simple Structural Models M. Baxter; 1. Introduction; 2. Levy Processes; 3. Credit Models for Single Names; 3.1. Example: Term structure of a single credit; 3.2. Extensions; 4. Portfolio Credit Models; 5. Calibration and Model Comparison; 6. Parameter Risks and Hedging; 6.1. Case study: Auto crisis May 2005; 7. Implementation and Other Products; 7.1. Calculating the distribution function; 7.2. Performing the optimization; 7.3. Other products; 8. Summary and Conclusions; References 327 $aCluster-Based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names D. Brigo, A. Pallavicini and R. Torresetti 1. Introduction; 2. Modeling Framework and the CPS Approach; 3. Avoiding Repeated Defaults; 3.1. Default-counting adjustment: GPL model (Strategy 0); 3.2. Single-name adjusted approach (Strategy 1); 3.3. GPCL model: Cluster-adjusted approach (Strategy 2); 3.4. Comparing models in a simplified scenario; 4. The GPCL Model Calibration; 4.1. Calibration results; 5. Extensions: Spread and Recovery Dynamics; 6. Conclusions; Acknowledgements; References 327 $aAppendix A. Market Quotes Appendix B. Calibration Inputs and Outputs; Stochastic Intensity Modeling for Structured Credit Exotics A. Chapovsky, A. Rennie and P. Tavares; 1. Introduction; 2. Model Setup; 2.1. Motivation; 2.2. Single credit dynamics; 2.3. Multiple credit dynamics; 2.4. Factorization of intensity dynamics; 2.5. Note on credit correlation; 3. Model Parametrization and Calibration; 3.1. Jump-only process; 3.2. Jump-CIR process; 3.3. Non-linear jump-diffusion process; 3.4. Idiosyncratic intensity dynamics; 4. Application to Structured Credit Exotics 327 $a4.1. Approximating model dynamics 4.2. Pricing of derivatives; 4.2.1. Vanilla tranches; 4.2.2. European option on tranche; 4.2.3. Leveraged tranche; 4.2.4. Tranche with counterparty risk; 5. Conclusions; Acknowledgments; References; Large Portfolio Credit Risk Modeling M. H. A. Davis and J. C. Esparragoza-Rodriguez; 1. Introduction; 2. Model Description; 2.1. Formal definition of the model; 3. Fluid and Diffusion Limits; 4. Convergence Results for the Rating Distribution Process; 4.1. The fiuid limit; 4.2. The diffusion limit 327 $a4.3. The infinitesimal generator of the single-obligor process and the probability of default 5. Computational Aspects: Quadratures; 5.1. CDO pricing; 5.2. Changes of measure, the Poisson space and Quadrature formulas; 5.2.1. The canonical space of a Poisson process; 5.2.2. Gaussian quadratures; 5.3. Some comparisons; 6. Calibration; 6.1. A 3-state environment process; 6.1.1. Implementation; 7. Conclusions; References; Empirical Copulas for CDO Tranche Pricing Using Relative Entropy M. A. H. Dempster, E. A. Medova and S. W. Yang; 1. Introduction 327 $a1.1. Correlated intensities in portfolio credit risk modeling 330 $aThe recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from 1 trillion to 20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments su 606 $aCredit derivatives 608 $aElectronic books. 615 0$aCredit derivatives. 676 $a332.64/57 701 $aLipton$b Alexander$0942400 701 $aRennie$b Andrew$f1968-$0614489 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910451487003321 996 $aCredit correlation$92126606 997 $aUNINA LEADER 03861nam 22007814a 450 001 9910455576503321 005 20200520144314.0 010 $a9786612537288 010 $a1-282-53728-8 010 $a0-226-32735-3 024 7 $a10.7208/9780226327358 035 $a(CKB)2520000000006461 035 $a(EBL)496619 035 $a(OCoLC)649864632 035 $a(SSID)ssj0000434488 035 $a(PQKBManifestationID)12191996 035 $a(PQKBTitleCode)TC0000434488 035 $a(PQKBWorkID)10396710 035 $a(PQKB)10608131 035 $a(SSID)ssj0000414099 035 $a(PQKBManifestationID)11286078 035 $a(PQKBTitleCode)TC0000414099 035 $a(PQKBWorkID)10395617 035 $a(PQKB)11537701 035 $a(StDuBDS)EDZ0000119099 035 $a(MiAaPQ)EBC496619 035 $a(DE-B1597)524373 035 $a(OCoLC)1135589579 035 $a(DE-B1597)9780226327358 035 $a(Au-PeEL)EBL496619 035 $a(CaPaEBR)ebr10372065 035 $a(CaONFJC)MIL253728 035 $a(EXLCZ)992520000000006461 100 $a20050726d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCitizens, cops, and power$b[electronic resource] $erecognizing the limits of community /$fSteve Herbert 210 $aChicago $cUniversity of Chicago Press$d2006 215 $a1 online resource (192 p.) 300 $aDescription based upon print version of record. 311 $a0-226-32730-2 311 $a0-226-32731-0 320 $aIncludes bibliographical references (p. 149-177) and index. 327 $tFrontmatter -- $tContents -- $tAcknowledgments -- $tIntroduction -- $t1. The Terrain of Community -- $t2. The Political Status of Community -- $t3. Elusive Legitimacy: Subservient, Separate, or Generative? -- $t4. "Don't Drink the Kool-Aid": On the Resistance to Community Policing -- $t5. "It Is So Difficult": The Complicated Pathways of Police-Community Relations -- $t6. The Unbearable Lightness of Community -- $tNotes -- $tIndex 330 $aPoliticians, citizens, and police agencies have long embraced community policing, hoping to reduce crime and disorder by strengthening the ties between urban residents and the officers entrusted with their protection. That strategy seems to make sense, but in Citizens, Cops, and Power, Steve Herbert reveals the reasons why it rarely, if ever, works. Drawing on data he collected in diverse Seattle neighborhoods from interviews with residents, observation of police officers, and attendance at community-police meetings, Herbert identifies the many obstacles that make effective collaboration between city dwellers and the police so unlikely to succeed. At the same time, he shows that residents' pragmatic ideas about the role of community differ dramatically from those held by social theorists. Surprising and provocative, Citizens, Cops, and Power provides a critical perspective not only on the future of community policing, but on the nature of state-society relations as well. 606 $aCommunity organization$zUnited States 606 $aCommunity life$zUnited States 606 $aCommunity policing$zUnited States 606 $aPolice-community relations$zUnited States 606 $aCrime prevention$xCitizen participation$zUnited States 608 $aElectronic books. 615 0$aCommunity organization 615 0$aCommunity life 615 0$aCommunity policing 615 0$aPolice-community relations 615 0$aCrime prevention$xCitizen participation 676 $a363.2/3/0973 700 $aHerbert$b Steven Kelly$f1959-$0973854 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910455576503321 996 $aCitizens, cops, and power$92216401 997 $aUNINA