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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 |
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-9910820076903321 |
|
Brigo Damiano <1966->
|
||
| Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, c2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-09767-9
9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910452254503321 |
|
MacKenzie Donald A
|
||
| Cambridge, Mass., : MIT Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto non controllato |
SCIENCE, TECHNOLOGY & SOCIETY/General
ECONOMICS/Finance ECONOMICS/General |
| ISBN |
0-262-25004-7
1-282-09767-9 9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910777513803321 |
|
MacKenzie Donald A
|
||
| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto non controllato |
SCIENCE, TECHNOLOGY & SOCIETY/General
ECONOMICS/Finance ECONOMICS/General |
| ISBN |
0-262-25004-7
1-282-09767-9 9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910824850303321 |
|
MacKenzie Donald A
|
||
| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The rise and fall of money manager capitalism : Minsky's half century from World War Two to the great recession / / Eric Tymoigne and L. Randall Wray
| The rise and fall of money manager capitalism : Minsky's half century from World War Two to the great recession / / Eric Tymoigne and L. Randall Wray |
| Autore | Tymoigne Eric <1976-, > |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2014 |
| Descrizione fisica | 1 online resource (312 p.) |
| Disciplina | 338.542 |
| Altri autori (Persone) | WrayL. Randall <1953-> |
| Collana | Routledge critical studies in finance and stability |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-138-65016-1
0-203-71729-5 1-135-07665-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Rise and Fall of Money Manager Capitalism; Title page; Copyright Page; Table of Contents; List of figures; List of tables; Acknowledgments; Introduction: the growth of financial fragility and the Great Recession; 1 The Minskian framework; The nature of capitalism; The Financial Instability Hypothesis; Different forms of capitalism: Minsky's stages approach; Broad policy implications; Conclusion; 2 From Managerial Capitalism to Money Manager Capitalism; Prior to the 1970s: Managerial Capitalism; Money Manager Capitalism; Conclusion
3 The Great Moderation and the growth of Ponzi financeEconomic expansion and growing private debt: the 1990s; Government policies and the growth of Ponzi finance; Decline in the quality of debts: the growth of Ponzi finance through underwriting; The crisis and response; 4 Policy implications for finance; Detecting financial fragility: definition and measurement; Financial fragility and financial reform; Conclusion; 5 Policy implications for employment; The lost commitment to full employment; The Job Guarantee: program design and benefits; Conclusion; Conclusion: the Minsky half century Appendix: adjusted L5 dataNotes; References; Index |
| Record Nr. | UNINA-9910452783203321 |
|
Tymoigne Eric <1976-, >
|
||
| London ; ; New York : , : Routledge, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The rise and fall of money manager capitalism : Minsky's half century from World War Two to the great recession / / Eric Tymoigne and L. Randall Wray
| The rise and fall of money manager capitalism : Minsky's half century from World War Two to the great recession / / Eric Tymoigne and L. Randall Wray |
| Autore | Tymoigne Eric <1976-, > |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2014 |
| Descrizione fisica | 1 online resource (312 p.) |
| Disciplina | 338.542 |
| Altri autori (Persone) | WrayL. Randall <1953-> |
| Collana | Routledge critical studies in finance and stability |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Mathematical models |
| ISBN |
1-138-65016-1
0-203-71729-5 1-135-07665-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Rise and Fall of Money Manager Capitalism; Title page; Copyright Page; Table of Contents; List of figures; List of tables; Acknowledgments; Introduction: the growth of financial fragility and the Great Recession; 1 The Minskian framework; The nature of capitalism; The Financial Instability Hypothesis; Different forms of capitalism: Minsky's stages approach; Broad policy implications; Conclusion; 2 From Managerial Capitalism to Money Manager Capitalism; Prior to the 1970s: Managerial Capitalism; Money Manager Capitalism; Conclusion
3 The Great Moderation and the growth of Ponzi financeEconomic expansion and growing private debt: the 1990s; Government policies and the growth of Ponzi finance; Decline in the quality of debts: the growth of Ponzi finance through underwriting; The crisis and response; 4 Policy implications for finance; Detecting financial fragility: definition and measurement; Financial fragility and financial reform; Conclusion; 5 Policy implications for employment; The lost commitment to full employment; The Job Guarantee: program design and benefits; Conclusion; Conclusion: the Minsky half century Appendix: adjusted L5 dataNotes; References; Index |
| Record Nr. | UNINA-9910779994703321 |
|
Tymoigne Eric <1976-, >
|
||
| London ; ; New York : , : Routledge, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The rise and fall of money manager capitalism : Minsky's half century from World War Two to the great recession / / Eric Tymoigne and L. Randall Wray
| The rise and fall of money manager capitalism : Minsky's half century from World War Two to the great recession / / Eric Tymoigne and L. Randall Wray |
| Autore | Tymoigne Eric <1976-, > |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2014 |
| Descrizione fisica | 1 online resource (312 p.) |
| Disciplina | 338.542 |
| Altri autori (Persone) | WrayL. Randall <1953-> |
| Collana | Routledge critical studies in finance and stability |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Mathematical models |
| ISBN |
1-138-65016-1
0-203-71729-5 1-135-07665-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Rise and Fall of Money Manager Capitalism; Title page; Copyright Page; Table of Contents; List of figures; List of tables; Acknowledgments; Introduction: the growth of financial fragility and the Great Recession; 1 The Minskian framework; The nature of capitalism; The Financial Instability Hypothesis; Different forms of capitalism: Minsky's stages approach; Broad policy implications; Conclusion; 2 From Managerial Capitalism to Money Manager Capitalism; Prior to the 1970s: Managerial Capitalism; Money Manager Capitalism; Conclusion
3 The Great Moderation and the growth of Ponzi financeEconomic expansion and growing private debt: the 1990s; Government policies and the growth of Ponzi finance; Decline in the quality of debts: the growth of Ponzi finance through underwriting; The crisis and response; 4 Policy implications for finance; Detecting financial fragility: definition and measurement; Financial fragility and financial reform; Conclusion; 5 Policy implications for employment; The lost commitment to full employment; The Job Guarantee: program design and benefits; Conclusion; Conclusion: the Minsky half century Appendix: adjusted L5 dataNotes; References; Index |
| Record Nr. | UNINA-9910809930603321 |
|
Tymoigne Eric <1976-, >
|
||
| London ; ; New York : , : Routledge, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
