{"product_id":"credit-models-and-the-crisis-9780470665664","title":"Credit Models and the Crisis","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eThe recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cb\u003ePreface.\u003c\/b\u003e  \u003cp\u003e\u003cb\u003eAcknowledgements.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAbout the Authors.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eNotation and List of Symbols.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction: Credit Modelling Pre- and In-Crisis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Bottom-up models.\u003c\/p\u003e \u003cp\u003e1.2 Compound correlation.\u003c\/p\u003e \u003cp\u003e1.3 Base correlation.\u003c\/p\u003e \u003cp\u003e1.4 Implied Copula.\u003c\/p\u003e \u003cp\u003e1.5 Expected Tranche Loss Surface.\u003c\/p\u003e \u003cp\u003e1.6 Top (down) framework.\u003c\/p\u003e \u003cp\u003e1.7 GPL and GPCL models.\u003c\/p\u003e \u003cp\u003e1.8 Structure of the book.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Market Quotes.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Credit indices.\u003c\/p\u003e \u003cp\u003e2.2 CDO tranches.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Gaussian Copula Model and Implied Correlation.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 One-factor Gaussian Copula model.\u003c\/p\u003e \u003cp\u003e3.1.1 Finite pool homogeneous one-factor Gaussian Copula model.\u003c\/p\u003e \u003cp\u003e3.1.2 Finite pool heterogeneous one-factor Gaussian Copula model.\u003c\/p\u003e \u003cp\u003e3.1.3 Large pool homogeneous one-factor Gaussian Copula model.\u003c\/p\u003e \u003cp\u003e3.2 Double-\u003ci\u003et\u003c\/i\u003e Copula Model.\u003c\/p\u003e \u003cp\u003e3.3 Compound correlation and base correlation.\u003c\/p\u003e \u003cp\u003e3.4 Existence and non-monotonicity of market spread as a function of compound correlation.\u003c\/p\u003e \u003cp\u003e3.5 Invertibility limitations of compound correlation: pre-crisis.\u003c\/p\u003e \u003cp\u003e3.6 Base correlation.\u003c\/p\u003e \u003cp\u003e3.7 Is base correlation a solution to the problems of compound correlation?\u003c\/p\u003e \u003cp\u003e3.8 Can the Double-\u003ci\u003et\u003c\/i\u003e Copula flatten the Gaussian base correlation skew?\u003c\/p\u003e \u003cp\u003e3.9 Summary on implied correlation.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Consistency across Capital Structure: Implied Copula.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Calibration of Implied Copula.\u003c\/p\u003e \u003cp\u003e4.2 Two-stage regularization.\u003c\/p\u003e \u003cp\u003e4.3 Summary of considerations around Implied Copula.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Consistency across Capital Structure and Maturities: Expected Tranche Loss.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Index and tranche NPV as a function of ETL.\u003c\/p\u003e \u003cp\u003e5.2 Numerical results.\u003c\/p\u003e \u003cp\u003e5.3 Summary on Expected (Equity) Tranche Loss.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 A Fully Consistent Dynamical Model: Generalized-Poisson Loss Model.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Loss dynamics.\u003c\/p\u003e \u003cp\u003e6.2 Model limits.\u003c\/p\u003e \u003cp\u003e6.3 Model calibration.\u003c\/p\u003e \u003cp\u003e6.4 Detailed calibration procedure.\u003c\/p\u003e \u003cp\u003e6.5 Calibration results.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Application to More Recent Data and the Crisis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Compound correlation in-crisis.\u003c\/p\u003e \u003cp\u003e7.2 Base correlation in-crisis.\u003c\/p\u003e \u003cp\u003e7.3 Implied Copula in-crisis.\u003c\/p\u003e \u003cp\u003e7.4 Expected Tranche Loss surface in-crisis.\u003c\/p\u003e \u003cp\u003e7.4.1 Deterministic piecewise constant recovery rates.\u003c\/p\u003e \u003cp\u003e7.5 Generalized-Poisson Loss model in-crisis.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Final Discussion and Conclusions.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 There are more things in heaven and earth, Horatio. . . .\u003c\/p\u003e \u003cp\u003e8.2 . . . Than are dreamt of in your philosophy.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eBibliography.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex.\u003c\/b\u003e\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402396377431,"sku":"9780470665664","price":28.49,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470665664.jpg?v=1730480274","url":"https:\/\/bookcurl.com\/products\/credit-models-and-the-crisis-9780470665664","provider":"Book Curl","version":"1.0","type":"link"}