June 2010
Intermediate to advanced
176 pages
3h 30m
English
book
Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models
by Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Content preview from Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models
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Bibliography
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Baheti, P. and Morgan, S. (2007). Base correlation mapping. QCR Quarterly, Q1. Lehman Brothers.
Balakrishna, B.S. (2006). A semi-analytical parametric model for credit defaults. Available at defaultrisk.com.
Balakrishna, B.S. (2007). Delayed default dependency and default contagion. Available at ssrn.com.
Baxter, M. (2007). Levy simple structural models. In A. Lipton and A. Rennie (editors), Credit Correlation: Life After Copulas. World Scientific.
Bennani, N. (2005). The forward loss model: A dynamic term structure approach for the pricing of portfolio credit derivatives. Available at defaultrisk.com.
Bennani, N. (2006). A note on Markov functional loss models. Available at defaultrisk.com.
Bielecki, T., Crepey, S. and Jeanblanc, M. (2008). Up and down credit risk. Working Paper. Available at defaultrisk.com.
Breeden, D.T. and Litzenberger, R.H. (1978) Prices of state-contingent claims implicit in option prices. Journal of Business, 51, 621-651.
Brigo, D. (2005). Market models for CDS options and callable floaters. Risk (January).
Brigo, D. (2006). Constant maturity CDS valuation with market models. Risk (June).
Brigo, D. and Alfonsi, A. (2005) ...
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I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
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