Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti
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| Autore: |
Brigo Damiano <1966->
|
| Titolo: |
Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti
|
| Pubblicazione: | Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 |
| Edizione: | 1st edition |
| Descrizione fisica: | 1 online resource (177 p.) |
| Disciplina: | 332.01/5195 |
| Soggetto topico: | Finance - Mathematical models |
| Credit - Mathematical models | |
| Financial crises - Mathematical models | |
| Altri autori: |
PallaviciniAndrea
TorresettiRoberto
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | 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; Index |
| Sommario/riassunto: | The 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 |
| Titolo autorizzato: | Credit models and the crisis |
| ISBN: | 1-118-37473-8 |
| 1-282-78264-9 | |
| 9786612782640 | |
| 0-470-66715-X | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910820076903321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Wiley finance series.