Home | Topics | SFRA

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

Printer-friendly versionPDF version

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

Short URL
Asymptotix on Twitter

Are the key legislative pillars such as Basel II & III, UCITS IV and Solvency II forcing you to re-examine how you identify, measure and manage risk and capital?

Asymptotix work closely with our partners to help clients develop a more proactive, systematic and integrated approach to governance and risk management to deliver proper value.

Asymptotix can offer the support you need to deliver on time. Read more...
 

Is the goal of your website to sell services or products, educate, or collect data?

A positive customer experience is vital to conversion, no matter what your conversion goals may be. Our designers and developers will create a positive experience to maximize your conversions and deliver the optimal return on your investment. We strive to find the perfect balance between the web site’s design and functionality.

Asymptotix implements interactive solutions for European companies. From corporate websites to social communities, our clients will tell you an investment in building a scalable online experience will deliver long-term tangible benefits.

Based in Luxembourg we can help you all over Europe. Our multi-lingual team can work with projects and speak your language! Read more...