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1、CreditModelsandtheCrisisForothertitlesintheWileyFinanceseriespleaseseewww.wiley.com/financeCreditModelsandtheCrisisAJourneyintoCDOs,Copulas,CorrelationsandDynamicModelsDamianoBrigo,AndreaPallaviciniandRobertoTorresettiAJohnWileyandSons,Ltd.,PublicationThisediti
2、onfirstpublished2010C2010JohnWiley&Sons,LtdRegisteredofficeJohnWiley&SonsLtd,TheAtrium,SouthernGate,Chichester,WestSussex,PO198SQ,UnitedKingdomFordetailsofourglobaleditorialoffices,forcustomerservicesandforinformationabouthowtoapplyforpermissiontoreusethecopyrig
3、htmaterialinthisbookpleaseseeourwebsiteatwww.wiley.com.TherightoftheauthortobeidentifiedastheauthorofthisworkhasbeenassertedinaccordancewiththeCopyright,DesignsandPatentsAct1988.Allrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,o
4、rtransmitted,inanyformorbyanymeans,electronic,mechanical,photocopying,recordingorotherwise,exceptaspermittedbytheUKCopyright,DesignsandPatentsAct1988,withoutthepriorpermissionofthepublisher.Wileyalsopublishesitsbooksinavarietyofelectronicformats.Somecontenttha
5、tappearsinprintmaynotbeavailableinelectronicbooks.Designationsusedbycompaniestodistinguishtheirproductsareoftenclaimedastrademarks.Allbrandnamesandproductnamesusedinthisbookaretradenames,servicemarks,trademarksorregisteredtrademarksoftheirrespectiveowners.Thep
6、ublisherisnotassociatedwithanyproductorvendormentionedinthisbook.Thispublicationisdesignedtoprovideaccurateandauthoritativeinformationinregardtothesubjectmattercovered.Itissoldontheunderstandingthatthepublisherisnotengagedinrenderingprofessionalservices.Ifprof
7、essionaladviceorotherexpertassistanceisrequired,theservicesofacompetentprofessionalshouldbesought.AcataloguerecordforthisbookisavailablefromtheBritishLibrary.ISBN978-0-470-66566-4Typesetin11.5/15ptTimesbyAptaraInc.,NewDelhi,IndiaPrintedinGreatBritainbyTJIntern
8、ationalLtd,Padstow,Cornwall,UKContentsPrefaceixAcknowledgementsxxiAbouttheAuthorsxxiiiNotationandListofSymbolsxxv1Introduction:CreditModellingPre-andIn-Crisis11.1Bottom-upmodels21.
