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Credit models and the crisis [[electronic resource] ] : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti
| Credit models and the crisis [[electronic resource] ] : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti |
| Autore | Brigo Damiano <1966-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (177 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) |
PallaviciniAndrea
TorresettiRoberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Credit - Mathematical models Financial crises - Mathematical models |
| ISBN |
1-118-37473-8
1-282-78264-9 9786612782640 0-470-66715-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910140752403321 |
Brigo Damiano <1966->
|
||
| Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti
| Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti |
| Autore | Brigo Damiano <1966-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (177 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) |
PallaviciniAndrea
TorresettiRoberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Credit - Mathematical models Financial crises - Mathematical models |
| ISBN |
9786612782640
9781118374733 1118374738 9781282782648 1282782649 9780470667156 047066715X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910820076903321 |
|
Brigo Damiano <1966->
|
||
| Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||