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Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models /
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 mode...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex :
John Wiley & Sons,
2010.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
MARC
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| 100 | 1 | |a Brigo, Damiano, |d 1966- | |
| 245 | 1 | 0 | |a Credit models and the crisis : |b a journey into CDOs, Copulas, correlations and dynamic models / |c Damiano Brigo, Andrea Pallavicini and Roberto Torresetti. |
| 260 | |a Chichester, West Sussex : |b John Wiley & Sons, |c 2010. | ||
| 300 | |a 1 online resource (xxxi, 143 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 347 | |a data file | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a 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. | |
| 520 | |a 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 lit. | ||
| 588 | 0 | |a Print version record. | |
| 590 | |a O'Reilly |b O'Reilly Online Learning: Academic/Public Library Edition | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Credit |x Mathematical models. | |
| 650 | 0 | |a Financial crises |x Mathematical models. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Crédit |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Credit |x Mathematical models |2 fast | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 650 | 7 | |a Financial crises |x Mathematical models |2 fast | |
| 700 | 1 | |a Pallavicini, Andrea. | |
| 700 | 1 | |a Torresetti, Roberto. | |
| 776 | 0 | 8 | |i Print version: |a Brigo, Damiano, 1966- |t Credit models and the crisis. |d Chichester ; Hoboken, NJ : John Wiley & Sons, 2010 |z 9780470665664 |w (DLC) 2010013149 |w (OCoLC)505422857 |
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