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Prof Damiano Brigo - SFRA - Credit Models Pre- and In-Crisis: Extreme Scenarios and Systemic Risk in Valuation

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Damiano Brigo (www.damianobrigo.it), Gilbart Professor of Mathematical Finance, Dept. of Mathematics, King’s College, London, presented Credit Models Pre- and In-Crisis: Extreme Scenarios and Systemic Risk in Valuation at the Scottish Financial Risk Academy (SFRA) Inaugural Colloquium in Edinburgh on the 4 November 2010.

Download the Presentation here!

Our blog about the formula that killed Wall Street: http://www.asymptotix.eu/content/formula-killed-wall-street-gaussian-copula-wired-felix-salmon

Table of contents of the presentation:

1 Mathematical Models and the Crisis
2 The case of CDOs
3 Real modeling problems with synthetic CDO
4 CDO models in the press: out of proportion
5 CDO models warning pre-crisis
6 More consistent and dynamic models pre-crisis: GPL
7 GPL model in-crisis
7 Exploding spreads: Credit Index Options
8 CVA and strange wrong way risk profiles with copulas
9 The big picture and Conclusions

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