Andrea Pallavicini: 3 books
Credit Models and the Crisis
A Journey into CDOs, Copulas, Correlations and Dynamic Models
Language: English
Release Date: September 7, 2010
The 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. It has become commonplace to blame the inadequacy of credit risk models,...
Counterparty Credit Risk, Collateral and Funding
With Pricing Cases For All Asset Classes
Language: English
Release Date: March 5, 2013
The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty...
Credit Models and the Crisis
A Journey into CDOs, Copulas, Correlations and Dynamic Models
Language: English
Release Date: October 28, 2010
The 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. It has become commonplace to blame the inadequacy of credit risk models,...