The Resource Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti, (electronic resource)

Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti, (electronic resource)

Label
Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
Title
Credit models and the crisis
Title remainder
a journey into CDOs, Copulas, correlations and dynamic models
Statement of responsibility
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Creator
Contributor
Provider
Subject
Language
eng
Summary
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
Member of
Cataloging source
CDX
http://library.link/vocab/creatorDate
1966-
http://library.link/vocab/creatorName
Brigo, Damiano
Illustrations
illustrations
Index
index present
LC call number
HG106
LC item number
.B75 2010eb
Literary form
non fiction
Nature of contents
  • standards specifications
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • ebrary
  • Pallavicini, Andrea
  • Torresetti, Roberto
http://library.link/vocab/subjectName
  • Finance
  • Credit
  • Financial crises
  • Credit
  • Finance
  • Financial crises
  • Mathematical models
  • Business
  • BUSINESS & ECONOMICS
  • Credit
  • Finance
  • Financial crises
Label
Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti, (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Dimensions
unknown
Extent
1 online resource (xxxi, 143 pages)
Form of item
electronic
Isbn
9780470667156
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
9786612782640
Other physical details
illustrations.
Specific material designation
remote
Stock number
278264
System control number
  • (OCoLC)669248997
  • (OCoLC)ocn669248997
Label
Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti, (electronic resource)
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Dimensions
unknown
Extent
1 online resource (xxxi, 143 pages)
Form of item
electronic
Isbn
9780470667156
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
9786612782640
Other physical details
illustrations.
Specific material designation
remote
Stock number
278264
System control number
  • (OCoLC)669248997
  • (OCoLC)ocn669248997

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