SOA QFI Track 参考书超全大合集

https://bbs.pinggu.org/thread-6906828-1-1.html

文章名称：The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis

作者：Catherine Donnelly and Paul Embrechts

出版信息：January 4, 2010

共29p，文字版（非扫描版）PDF

目录：

1 Introduction

2 The roots of the subprime mortgage crisis

3 Securitization

4 The Gaussian copula model

5 The drawbacks of the copula-based model in credit risk

6 The difficulties in valuing CDOs

7 Alternative approaches to valuing CDOs

8 A failure of risk management: AIG

9 Summary

Acknowledgements

References