Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models

Valutazione media 3
( su 1 valutazioni fornite da Goodreads )
 
9780470665664: 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 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 little analysis had been published on the subject and, when published, it had gained very limited attention.

Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation.

The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

About the Author:

DAMIANO BRIGO is Managing Director and Global Head of the Quantitative team in Fitch Solutions, and Visiting Professor at the Department of Mathematics at Imperial College, London.
Damiano has published more than 50 articles in top journals for mathematical finance, systems theory, probability and statistics, and a book for Springer Verlag that has become a field reference in stochastic interest rate modeling. Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, he is a member of the Fitch Academic Advisory Board and is part of scientific committees for academic conference occurring at MIT and other academic and industry institutions. Damiano has also been a charter member of Risk's Who's Who since 2007.
Damiano's interests include pricing, risk measurement, credit and default modeling, counterparty risk, and stochastic dynamical models for commodities and inflation.
Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honours from the University of Padua.

ANDREA PALLAVICINI is Head of Financial Engineering at Banca Leonardo in Milan. Previously, he worked as Head of Equity and Hybrid Models in Banca IMI, working also on dynamical loss models, interest-rate derivatives, smile modelling and counterparty risk.
Over the years he has published several academic and practitioner-oriented articles in financial modeling, theoretical physics and astrophysics. He has taught Master courses in finance at the Universities of Pavia and Milan.
He obtained a Degree in astrophysics, and a Ph.D. in theoretical and mathematical physics from the University of Pavia.

ROBERTO TORRESETTI is responsible for Structured Credit Derivatives at BBVA. He was previously a senior credit derivatives modeller at Banca IMI and equity derivatives analyst at Lehman Brothers and a quantitative fund manager at San Paolo IMI Asset Management. He holds a bachelor's degree in economics from Università Bocconi in Milan and completed his MA in economics at Università Bocconi and MS in financial mathematics at the University of Chicago.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

I migliori risultati di ricerca su AbeBooks

1.

Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Editore: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Paperback Prima edizione Quantità: 10
Da
The Book Depository
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2010. Paperback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book. 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 little analysis had been published on the subject and, when published, it had gained very limited attention. Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future. Codice libro della libreria AAH9780470665664

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 21,74
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

2.

Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Editore: John Wiley and Sons Ltd
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Paperback Quantità: > 20
Da
THE SAINT BOOKSTORE
(Southport, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons Ltd. Paperback. Condizione libro: new. BRAND NEW, Credit Models and the Crisis: A Journey into CDOsCopulas, Correlations and Dynamic Models, Damiano Brigo, Andrea Pallavicini, Roberto Torresetti, 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 little analysis had been published on the subject and, when published, it had gained very limited attention. Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future. Codice libro della libreria B9780470665664

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 18,99
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 7,74
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

3.

Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Editore: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Paperback Prima edizione Quantità: 10
Da
The Book Depository US
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2010. Paperback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book. 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 little analysis had been published on the subject and, when published, it had gained very limited attention. Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future. Codice libro della libreria AAH9780470665664

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 27,44
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

4.

Damiano Brigo
Editore: John Wiley and#38; Sons (2010)
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Quantità: > 20
Da
Books2Anywhere
(Fairford, GLOS, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and#38; Sons, 2010. PAP. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470665664

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 18,53
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 10,04
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

5.

Damiano Brigo (DerivativeFitch); Andrea Pallavicini (Banca Leonardo); Roberto Torresetti (BBVA)
Editore: John Wiley and Sons
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Quantità: > 20
Da
INDOO
(Avenel, NJ, U.S.A.)
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons. Condizione libro: New. Brand New. Codice libro della libreria 0470665661

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 28,95
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,00
In U.S.A.
Destinazione, tempi e costi

6.

Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Editore: Wiley (2010)
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Paperback Quantità: 1
Da
Ergodebooks
(RICHMOND, TX, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Wiley, 2010. Paperback. Condizione libro: New. 1. Codice libro della libreria DADAX0470665661

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 34,83
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,42
In U.S.A.
Destinazione, tempi e costi

7.

Damiano Brigo; Andrea Pallavicini; Roberto Torresetti
Editore: Wiley (2010)
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Paperback Quantità: 1
Da
Irish Booksellers
(Rumford, ME, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Wiley, 2010. Paperback. Condizione libro: New. book. Codice libro della libreria 0470665661

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 40,94
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
In U.S.A.
Destinazione, tempi e costi

8.

Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Editore: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Paperback Prima edizione Quantità: 10
Da
Book Depository hard to find
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2010. Paperback. Condizione libro: New. 1. Auflage. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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 little analysis had been published on the subject and, when published, it had gained very limited attention. Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future. Codice libro della libreria BZV9780470665664

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 44,23
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

9.

DAMIANO BRIGO
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Paperback Quantità: 10
Da
Herb Tandree Philosophy Books
(Stroud, GLOS, Regno Unito)
Valutazione libreria
[?]

Descrizione libro 2010. Paperback. Condizione libro: NEW. 9780470665664 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0775140

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 37,87
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 8,91
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

10.

Damiano Brigo; Andrea Pallavicini; Roberto Torresetti
ISBN 10: 0470665661 ISBN 13: 9780470665664
Nuovi Quantità: 2
Da
BWB
(Valley Stream, NY, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Condizione libro: New. Depending on your location, this item may ship from the US or UK. Codice libro della libreria 97804706656640000000

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 48,88
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
In U.S.A.
Destinazione, tempi e costi

Vedi altre copie di questo libro

Vedi tutti i risultati per questo libro