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...

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Bibliographic Details
Main Author: Brigo, Damiano
Other Authors: Pallavicini, Andrea, Torresetti, Roberto
Format: eBook
Language:English
Published: Chichester, West Sussex John Wiley & Sons 2010
Subjects:
Online Access:
Collection: O'Reilly - Collection details see MPG.ReNa
Description
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
Physical Description:xxxi, 143 pages illustrations
ISBN:1118374738
9781118374733
047066715X
9780470667156