Credit models and the crisis: a journey into CDOs, Copulas, correlations and dynamic models
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2010
|
| Edition: | 1. publ. |
| Series: | Wiley finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXXI, 143 S. graph. Darst. |
| ISBN: | 9780470665664 |
Staff View
MARC
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| 245 | 1 | 0 | |a Credit models and the crisis |b a journey into CDOs, Copulas, correlations and dynamic models |c Damiano Brigo, Andrea Pallavicini and Roberto Torresetti |
| 250 | |a 1. publ. | ||
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface
ix
Acknowledgements
xxi
About the Authors
xxiii
Notation and List of Symbols
xxv
1
Introduction: Credit Modelling
Pre-
and In-Crisis
1
1.1
Bottom-up models
2
1.2
Compound correlation
4
1.3
Base correlation
4
1.4
Implied Copula
5
1.5
Expected Tranche Loss Surface
7
1.6
Top (down) framework
8
1.7
GPL and GPCL models
9
1.8
Structure of the book
12
Market Quotes
15
2.1
Credit indices
15
2.2
CDO tranches
17
Contents
Gaussian Copula Model and Implied Correlation
21
3.1
One-factor Gaussian Copula model
24
3.1.1
Finite pool homogeneous one-factor
Gaussian Copula model
25
3.1.2
Finite pool heterogeneous one-factor
Gaussian Copula model
27
3.1.3
Large pool homogeneous one-factor
Gaussian Copula model
29
3.2
Double-ŕ
Copula Model
33
3.3
Compound correlation and base correlation
35
3.4
Existence and non-monotonicity of market spread
as a function of compound correlation
37
3.5
Invertibility limitations of compound correlation:
pre-crisis
39
3.6
Base correlation
39
3.7
Is base correlation a solution to the problems
of compound correlation?
42
3.8
Can the Double-i Copula flatten the Gaussian base
correlation skew?
45
3.9
Summary on implied correlation
45
Consistency across Capital Structure:
Implied Copula
47
4.1
Calibration of Implied Copula
50
4.2
Two-stage regularization
54
4.3
Summary of considerations around Implied Copula
59
5
Consistency across Capital Structure and Maturities:
Expected Tranche Loss
63
5.1
Index and tranche NPV as a function of ETL
65
5.2
Numerical results
71
5.3
Summary on Expected (Equity) Tranche Loss
72
Contents
6
A Fully Consistent Dynamical Model:
Generalized-Poisson Loss Model
75
6.1
Loss dynamics
76
6.2
Model limits
78
6.3
Model calibration
78
6.4
Detailed calibration procedure
79
6.5
Calibration results
80
7
Application to More Recent Data and the Crisis
87
7.1
Compound correlation in-crisis
87
7.2
Base correlation in-crisis
99
7.3
Implied Copula in-crisis
105
7.4
Expected Tranche Loss surface in-crisis
106
7.4.1
Deterministic piecewise constant
recovery rates 111
7.5
Generalized-Poisson Loss model in-crisis
115
8
Final Discussion and Conclusions
125
8.1
There are more things in heaven and
earth, Horatio.
.. 125
8.2 ...
Than are dreamt of in your philosophy
127
Bibliography
131
Index
137
|
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| id | DE-604.BV036502231 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:41:46Z |
| institution | BVB |
| isbn | 9780470665664 |
| language | English |
| lccn | 2010013149 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020424619 |
| oclc_num | 699567863 |
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| physical | XXXI, 143 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance |
| spelling | Brigo, Damiano Verfasser aut Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models Damiano Brigo, Andrea Pallavicini and Roberto Torresetti 1. publ. Chichester Wiley 2010 XXXI, 143 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance Mathematisches Modell Finance Mathematical models Credit Mathematical models Financial crises Mathematical models Modell (DE-588)4039798-1 gnd rswk-swf Finanzkrise (DE-588)7635855-0 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Kreditderivat (DE-588)7660453-6 s Modell (DE-588)4039798-1 s Finanzkrise (DE-588)7635855-0 s b DE-604 Pallavicini, Andrea Verfasser aut Torresetti, Roberto Verfasser aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020424619&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brigo, Damiano Pallavicini, Andrea Torresetti, Roberto Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models Mathematisches Modell Finance Mathematical models Credit Mathematical models Financial crises Mathematical models Modell (DE-588)4039798-1 gnd Finanzkrise (DE-588)7635855-0 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)4039798-1 (DE-588)7635855-0 (DE-588)4114309-7 (DE-588)7660453-6 |
| title | Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models |
| title_auth | Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models |
| title_exact_search | Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models |
| title_full | Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models Damiano Brigo, Andrea Pallavicini and Roberto Torresetti |
| title_fullStr | Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models Damiano Brigo, Andrea Pallavicini and Roberto Torresetti |
| title_full_unstemmed | Credit models and the crisis a journey into CDOs, Copulas, correlations and dynamic models Damiano Brigo, Andrea Pallavicini and Roberto Torresetti |
| title_short | Credit models and the crisis |
| title_sort | credit models and the crisis a journey into cdos copulas correlations and dynamic models |
| title_sub | a journey into CDOs, Copulas, correlations and dynamic models |
| topic | Mathematisches Modell Finance Mathematical models Credit Mathematical models Financial crises Mathematical models Modell (DE-588)4039798-1 gnd Finanzkrise (DE-588)7635855-0 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Mathematisches Modell Finance Mathematical models Credit Mathematical models Financial crises Mathematical models Modell Finanzkrise Kreditrisiko Kreditderivat |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020424619&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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