Lien ebook : https://onlinelibrary-wiley-com.ezproxy.univ-catholille.fr/d...

eISBN : 9781118809204

Sommaire : Preface
Acknowledgments
About the Author
CHAPTER 1 - Some Correlation Basics: Properties, Motivation, Terminology
CHAPTER 2 - Empirical Properties of Correlation: How Do Correlations Behave in the Real World?
CHAPTER 3 - Statistical Correlation Models—Can We Apply Them to Finance?
CHAPTER 4 - Financial Correlation Modeling—Bottom-Up Approaches
CHAPTER 5 - Valuing CDOs with the Gaussian Copula—What Went Wrong?
CHAPTER 6 - The One-Factor Gaussian Copula (OFGC) Model—Too Simplistic?
CHAPTER 7 - Financial Correlation Models—Top-Down Approaches
CHAPTER 8 - Stochastic Correlation Models
CHAPTER 9 - Quantifying Market Correlation Risk
CHAPTER 10 - Quantifying Credit Correlation Risk
CHAPTER 11 - Hedging Correlation Risk
CHAPTER 12 - Correlation and Basel II and III
CHAPTER 13 - The Future of Correlation Modeling
References and Suggested Readings
Glossary
Index

Langue : Anglais

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque