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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Other Authors: | , |
Format: | eBook |
Language: | English |
Published: |
Chichester, West Sussex
John Wiley & Sons
2010
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Online Access: | |
Collection: | O'Reilly - Collection details see MPG.ReNa |
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 |
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Physical Description: | xxxi, 143 pages illustrations |
ISBN: | 1118374738 9781118374733 047066715X 9780470667156 |