Credit models and the crisis a journey into CDOs, copulas, correlations and dynamic models
Language: English
Published by John Wiley & Sons Limited, Surrey, 2010
- Softcover
- New
Seller: MARCIAL PONS LIBRERO, MADRID, M, SpainMARCIAL PONS LIBRERO
AbeBooks seller since September 11, 2015
Condition: New
£ 42.31
Quantity: 1 available
Add to basketSeller Inventory # 100876586
- Title
- Credit models and the crisis a journey into CDOs, copulas, correlations and dynamic models
- Author
- Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto
- Publisher
- John Wiley & Sons Limited, Surrey
- Publication year
- 2010
- Condition
- New
- Binding
- TAPA BLANDA
- Language
- English
- ISBN 10
- 0470665661
- ISBN 13
- 9780470665664
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.
"Synopsis" may belong to another edition of this title.
About the Author
DAMIANO BRIGO is Managing Director and Global Head of the Quantitative team at 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 modelling. He 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 modelling, 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 modelling, 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.
"About the title" may belong to another edition of this title.
MARCIAL PONS LIBRERO
MADRID, M, Spain
AbeBooks seller since September 11, 2015
Shipping rates from Spain to U.S.A.
| Item | 3 to 7 business days | 3 to 7 business days |
|---|---|---|
| First item | £ 18.01 | £ 18.01 |
Payment methods
Store description
Librería especializada en libros jurídicos, de economía, de empresa, de historia y Ciencias Sociales en general
Specialty
Empresa, Literatura, Filología, Derecho, Historia, EconomíaSeller's business information
MARCIAL PONS LIBRERO S.L.
SAN SOTERO, 6
MADRID, Spain 28037
Terms of sale
La disponibilidad de los libros mostrados depende de las ventas realizadas tanto a través de Iberlibro como de las ventas directas en nuestras librerías. El envío del pedido se realiza entre las 24/48 horas siguientes a la recepción del mismo y siempre que sea en días laborables. Los envíos se realizan por agencias courier de transporte. Puede anular su pedido en todo momento sin ningún gasto por su parte siempre que el pedido no haya sido enviado, en caso de que el pedido haya salido de nuestras dependencias puede devolver los libros dentro de los siete días siguientes a la compra y con el embalaje original procediendo, después de la verificación del paquete, a la devolución del importe de los libros. La dirección para devoluciones es MARCIAL PONS LIBRERO. Calle San Sotero, 6. 28037 Madrid (España).
Right of withdrawal
If you are a consumer you can withdraw from the contract in accordance with the following. Consumer means any natural person who is acting for purposes which are outside his trade, business, craft or profession.
Information regarding the right of withdrawal
Statutory right to withdraw
You have the right to withdraw from this contract within 14 days without giving any reason.
The withdrawal period will expire after 14 days from the day on which you acquire, or a third party other than the carrier and indicated by you acquires, physical possession of the last good or the last lot or piece.
To exercise the right of withdrawal, electronically fill in and submit a clear statement on our website, under "My Purchases" in "My Account". We will communicate to you an acknowledgement of receipt of such a withdrawal on a durable medium (e.g. by e-mail) without delay.
To meet the withdrawal deadline, it is sufficient for you to send your communication concerning your exercise of the right of withdrawal before the withdrawal period has expired.
Effects of withdrawal
If you withdraw from this contract, we will reimburse to you all payments received from you, including the costs of delivery (except for the supplementary costs arising if you chose a type of delivery other than the least expensive type of standard delivery offered by us).
We may make a deduction from the reimbursement for loss in value of any goods supplied, if the loss is the result of unnecessary handling by you.
We will make the reimbursement without undue delay, and not later than 14 days after the day on which we are informed about your decision to withdraw from this contract.
We will make the reimbursement using the same means of payment as you used for the initial transaction, unless you have expressly agreed otherwise; in any event, you will not incur any fees as a result of such reimbursement.
We may withhold reimbursement until we have received the goods back, or you have supplied evidence of having sent back the goods, whichever is the earliest.
You shall send back the goods or hand them over to MARCIAL PONS LIBRERO, MADRID, Madrid, Spain, without undue delay and in any event not later than 14 days from the day on which you communicate your withdrawal from this contract to us. The deadline is met if you send back the goods before the period of 14 days has expired. You will have to bear the direct cost of returning the goods. You are only liable for any diminished value of the goods resulting from the handling other than what is necessary to establish the nature, characteristics and functioning of the goods.
Exceptions to the right of withdrawal
The right of withdrawal does not apply to:
- The delivery of newspapers, journals or magazines with the exception of subscription contracts; and
- The supply of digital content which is not supplied on a tangible medium (e.g. on a CD or DVD) if you accepted when you placed your order that we could start to deliver it, and that you could not withdraw once delivery had started.
Shipping terms
Los costes de envío para España(península) se basan en la suposición de que los libros seleccionados pesan hasta 5 Kg. Si los libros seleccionados por usted son más pesados o muy grandes nos pondremos en contacto con usted para comunicarle el gasto extraordinario requerido. ATENCIÓN: Para envíos a las Islas Canarias, Ceuta, Melilla e Islas Baleares los costes de envío no tienen el mismo importe que el indicado para península, deberá ser consultado. Los costes de envío para otros países dependerán de la zona a la que pertenezcan estos, si su país no aparece en el listados de paises a seleccionar será tenido en cuenta como ENVÍOS INTERNACIONALES y nos pondremos en contacto con usted para indicarle cual es el precio concreto de los gastos de transporte. El coste se tiene en cuenta desde 1 kg y solo se refieren a los gastos de transporte no estando incluidos otros importes que por las normas de aduanas puedan interferir en la gestión de la entrega del paquete.