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

Acknowledgements

We are grateful to Tom Bielecki for several interesting discussions and helpful correspondence. We are also grateful to Andrea Prampolini for helpful interaction on recovery modelling and other issues on the credit derivatives market. Frederic Vrins corresponded with us on the early versions, helping with a number of issues.

Damiano wishes to express his gratitude to co-authors, colleagues and friends who contributed to his insight in previous years, including Aurelien Alfonsi, Agostino Capponi, Naoufel El-Bachir, Massimo Morini, and the Fitch Solutions London team, including Imane Bakkar, Johan Beumee, Kyriakos Chourdakis, Antonio Dalessandro, Madeleine Golding, Vasileios Papatheodorou, Ed Parcell, Mirela Predescu, Karl Rodolfo, Gareth Stoyle, Rutang Thanawalla, Fares Triki and Weike Wu. The preparation for this book has also been an interfering factor in Damiano’s wedding, and he is especially grateful to Valeria for her patience and support, for the wonderful wedding and the Patagonia voyage, and to both families across Venice, Taranto, London and Milan, for constant support and affection in interesting but difficult times, when further help came from riding the wonderful Suzuki Gladius and SV650 in enchanted sceneries through Galles, Cornwall, the rest of the UK and the Italian Alps and lakes.

Andrea is grateful to his colleagues and friends for their helpful contributions and patience.

Roberto thanks his colleagues and friends, in particular Luis Manuel García ...