user
0
Su pedido

Tu pedido

Su carro de la compra está vacío

Materias

The Art Of Credit Derivatives: Demystifying The Black Swan

The Art Of Credit Derivatives: Demystifying The Black Swan

Compartir en:

(0 Comentarios)
Comenta y valora este libro

pvp.87,35 €

Sin Stock. Posibilidad entre 11 y 20 dias

  • ISBN:9780470747353
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
  • Encuadernación:cartone
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:256
  • Idiomas:Ingles

Materias:

As far back as 2002, João Garcia anticipated the market turmoil that began in July 2007. In 2006 Serge Goossens joined João and their work in educating others and developing policies and systems ever since has been driven by the anticipation of this crisis.
In the first part of the book the authors look at how some aspects of quantitative modeling has led to the current credit crisis. They begin by showing how the misuse of securitization and risk models for the credit and related asset backed securities markets led to the credit crisis by illustrating the problems inherent in the risk models e.g systemic risk being grossly underestimated. They also identify the sources of the anomalies in the current regulations e.g the extreme low risk weight for the super senior tranches of CDO's where the correlation has been underestimated and present an algorithm to estimate these correlations and numerical results to support the claims.

Otros libros de Sistema Financiero

Otros libros de Bolsa