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Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models /

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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...

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Bibliographic Details
Main Author: Brigo, Damiano, 1966-
Other Authors: Pallavicini, Andrea, Torresetti, Roberto
Format: eBook
Language:English
Published: Chichester ; Hoboken, NJ : John Wiley & Sons, 2010.
Series:Wiley finance series.
Subjects:
Finance > Mathematical models.
Credit > Mathematical models.
Financial crises > Mathematical models.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Credit models and the crisis
  • Market quotes
  • Gaussian copula model and implied correlation
  • Consistency across capital structure
  • Implied copula
  • Consistency across capital structure and maturities
  • Expected tranche loss
  • A fully consistent dynamical model
  • Generalized-poisson loss model
  • Application to more recent data and the crisis.