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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Index
A
amplitudes, GPL model
Armageddon component
B
base correlation
CDO tranches
CDX indices
compound correlation
DJ-iTraxx indices
Gaussian Copula
heterogeneous pool model
homogeneous pool model
Implied Copula
in-crisis
pre-crisis
relative mispricing
super-senior tranches
theoretical spread
see also compound correlation; implied correlation
Bernouille variables
bid-ask spread
base correlation
deterministic recovery
ETL
GPL model
Implied Copula
binomial distribution
bottom-up models
Breeden, D.T.
C
calibration
base correlation
ETL
GPL model
Implied Copula
capital structure
CDOs see Collateralized Debt Obligations
CDSs see Credit Default Swaps
CDX indices
base correlation
CDO tranches
compound correlation
ETL
GPL model
Implied Copula
implied recovery
tranches
Collateralized Debt Obligations (CDOs)
base correlation
bottom-up models
compound correlation
Gaussian Copula
GPCL model
GPL model
Implied Copula
market liquidity
rating criteria
RMBSs
tranches
see also synthetic CDOs
common Poisson shock (CPS) framework
compound correlation
base correlation
CDO tranches
CDX indices
DJ-iTraxx indices
Gaussian Copula
in-crisis
invertibility
market spread
pre-crisis
theoretical spread
uniqueness
see also base correlation; implied correlation
Constant Proportion Debt Obligations (CPDOs)
copulas
bottom-up models
ETL
pre-crisis
see also Double-t Copula; Gaussian Copula; Implied Copula
correlation matrices
see also base correlation; compound correlation; implied correlation
counterparty ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.