skip to content
Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models Preview this item
ClosePreview this item
Checking...

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

Author: Damiano Brigo; Andrea Pallavicini; Roberto Torresetti
Publisher: Chichester, West Sussex : John Wiley & Sons, 2010.
Series: Wiley finance series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Brigo, Damiano, 1966-
Credit models and the crisis.
Chichester ; Hoboken, NJ : John Wiley & Sons, 2010
(DLC) 2010013149
(OCoLC)505422857
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Damiano Brigo; Andrea Pallavicini; Roberto Torresetti
ISBN: 9781118374733 1118374738 9780470667156 047066715X
OCLC Number: 669248997
Description: 1 online resource (xxxi, 143 pages) : illustrations.
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.
Series Title: Wiley finance series.
Responsibility: Damiano Brigo, Andrea Pallavicini and Roberto Torresetti.

Abstract:

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  Read more...

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/669248997> # Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
    a schema:Book, schema:CreativeWork, schema:MediaObject ;
    library:oclcnum "669248997" ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/792056973#Place/chichester_west_sussex> ; # Chichester, West Sussex
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
    schema:about <http://id.worldcat.org/fast/924398> ; # Finance--Mathematical models
    schema:about <http://id.loc.gov/authorities/subjects/sh2009122265> ; # Credit--Mathematical models
    schema:about <http://dewey.info/class/332.015195/e22/> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/792056973#Topic/business_&_economics_finance> ; # BUSINESS & ECONOMICS--Finance
    schema:about <http://experiment.worldcat.org/entity/work/data/792056973#Topic/financial_crises_mathematical_models> ; # Financial crises--Mathematical models
    schema:about <http://id.worldcat.org/fast/882543> ; # Credit--Mathematical models
    schema:about <http://id.loc.gov/authorities/subjects/sh85048260> ; # Finance--Mathematical models
    schema:about <http://id.worldcat.org/fast/924611> ; # Financial crises--Mathematical models
    schema:bookFormat schema:EBook ;
    schema:contributor <http://viaf.org/viaf/120424755> ; # Andrea Pallavicini
    schema:contributor <http://viaf.org/viaf/230390590> ; # Roberto Torresetti
    schema:creator <http://viaf.org/viaf/74150989> ; # Damiano Brigo
    schema:datePublished "2010" ;
    schema:description "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."@en ;
    schema:description "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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/792056973> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/792056973#Series/wiley_finance_series> ; # Wiley finance series.
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/792056973#Series/wiley_finance> ; # Wiley finance
    schema:isSimilarTo <http://www.worldcat.org/oclc/505422857> ;
    schema:name "Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models"@en ;
    schema:productID "669248997" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/669248997#PublicationEvent/chichester_west_sussex_john_wiley_&_sons_2010> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/792056973#Agent/john_wiley_&_sons> ; # John Wiley & Sons
    schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=589167> ;
    schema:url <http://proquest.safaribooksonline.com/9780470971437> ;
    schema:url <http://d-nb.info/1066740275/34> ;
    schema:url <http://d-nb.info/1066370605/34> ;
    schema:url <http://dx.doi.org/10.1002/9781118374733> ;
    schema:url <http://www.gbv.de/dms/bowker/toc/9780470665664.pdf> ;
    schema:url <http://nbn-resolving.de/urn:nbn:de:101:1-201502059886> ;
    schema:url <http://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=589167> ;
    schema:url <http://ebookcentral.proquest.com/lib/columbia/detail.action?docID=589167> ;
    schema:url <http://catalogimages.wiley.com/images/db/jimages/9780470665664.jpg> ;
    schema:url <http://ebookcentral.proquest.com/lib/warw/detail.action?docID=589167> ;
    schema:url <http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=339140> ;
    schema:url <http://www.myilibrary.com?id=278264&ref=toc> ;
    schema:url <http://onlinelibrary.wiley.com/book/10.1002/9781118374733> ;
    schema:url <http://www.myilibrary.com?id=278264> ;
    schema:url <http://site.ebrary.com/id/10419008> ;
    schema:url <http://nbn-resolving.de/urn:nbn:de:101:1-2015021112565> ;
    schema:url <http://www.123library.org/book_details/?id=6822> ;
    schema:workExample <http://worldcat.org/isbn/9781118374733> ;
    schema:workExample <http://worldcat.org/isbn/9780470667156> ;
    umbel:isLike <http://d-nb.info/1066740275> ;
    umbel:isLike <http://d-nb.info/1066370605> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/669248997> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/792056973#Agent/john_wiley_&_sons> # John Wiley & Sons
    a bgn:Agent ;
    schema:name "John Wiley & Sons" ;
    .

<http://experiment.worldcat.org/entity/work/data/792056973#Place/chichester_west_sussex> # Chichester, West Sussex
    a schema:Place ;
    schema:name "Chichester, West Sussex" ;
    .

<http://experiment.worldcat.org/entity/work/data/792056973#Series/wiley_finance> # Wiley finance
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/669248997> ; # Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
    schema:name "Wiley finance" ;
    .

<http://experiment.worldcat.org/entity/work/data/792056973#Series/wiley_finance_series> # Wiley finance series.
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/669248997> ; # Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
    schema:name "Wiley finance series." ;
    .

<http://experiment.worldcat.org/entity/work/data/792056973#Topic/business_&_economics_finance> # BUSINESS & ECONOMICS--Finance
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS--Finance"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh2009122265> # Credit--Mathematical models
    a schema:Intangible ;
    schema:name "Credit--Mathematical models"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh85048260> # Finance--Mathematical models
    a schema:Intangible ;
    schema:name "Finance--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/882543> # Credit--Mathematical models
    a schema:Intangible ;
    schema:name "Credit--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/924398> # Finance--Mathematical models
    a schema:Intangible ;
    schema:name "Finance--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/924611> # Financial crises--Mathematical models
    a schema:Intangible ;
    schema:name "Financial crises--Mathematical models"@en ;
    .

<http://onlinelibrary.wiley.com/book/10.1002/9781118374733>
    rdfs:comment "URL des Erstveröffentlichers" ;
    .

<http://viaf.org/viaf/120424755> # Andrea Pallavicini
    a schema:Person ;
    schema:familyName "Pallavicini" ;
    schema:givenName "Andrea" ;
    schema:name "Andrea Pallavicini" ;
    .

<http://viaf.org/viaf/230390590> # Roberto Torresetti
    a schema:Person ;
    schema:familyName "Torresetti" ;
    schema:givenName "Roberto" ;
    schema:name "Roberto Torresetti" ;
    .

<http://viaf.org/viaf/74150989> # Damiano Brigo
    a schema:Person ;
    schema:birthDate "1966" ;
    schema:familyName "Brigo" ;
    schema:givenName "Damiano" ;
    schema:name "Damiano Brigo" ;
    .

<http://worldcat.org/isbn/9780470667156>
    a schema:ProductModel ;
    schema:isbn "047066715X" ;
    schema:isbn "9780470667156" ;
    .

<http://worldcat.org/isbn/9781118374733>
    a schema:ProductModel ;
    schema:isbn "1118374738" ;
    schema:isbn "9781118374733" ;
    .

<http://www.worldcat.org/oclc/505422857>
    a schema:CreativeWork ;
    rdfs:label "Credit models and the crisis." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/669248997> ; # Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
    .

<http://www.worldcat.org/title/-/oclc/669248997>
    a genont:InformationResource, genont:ContentTypeGenericResource ;
    schema:about <http://www.worldcat.org/oclc/669248997> ; # Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
    schema:dateModified "2018-01-06" ;
    void:inDataset <http://purl.oclc.org/dataset/WorldCat> ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.