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Credit Risk Frontiers: Subprime Crisis, Pricing And Hedging, Cva, Mbs, Ratings, And Liquidity(ISBN=9781576603581)书籍详细信息
- ISBN：9781576603581
- 作者：暂无作者
- 出版社：暂无出版社
- 出版时间：2010-12
- 页数：754
- 价格：331.50
- 纸张：胶版纸
- 装帧：精装
- 开本：16开
- 语言：未知
- 丛书：暂无丛书
- TAG：暂无
- 豆瓣评分：暂无豆瓣评分
内容简介：
A timely guide to understanding and implementing credit
derivatives
Credit derivatives are here to stay and will continue to play a
role in finance in the future. But what will that role be? What
issues and challenges should be addressed? And what lessons can be
learned from the credit mess?
Credit Risk Frontiers offers answers to these and other questions
by presenting the latest research in this field and addressing
important issues exposed by the financial crisis. It covers this
subject from a real world perspective, tackling issues such as
liquidity, poor data, and credit spreads, as well as the latest
innovations in portfolio products and hedging and risk management
techniques.
Provides a coherent presentation of recent advances in the theory
and practice of credit derivatives
Takes into account the new products and risk requirements of a
post financial crisis world
Contains information regarding various aspects of the credit
derivative market as well as cutting edge research regarding those
aspects
If you want to gain a better understanding of how credit
derivatives can help your trading or investing endeavors, then
Credit Risk Frontiers is a book you need to read.
书籍目录：
Foreword (Greg M.Gupton).
Introduction (Tomasz R.Bielecki,DamianoBrigo, and Fr?ed?eric
Patras).
PART I: EXPERT VIEWS.
CHAPTER 1 Origins of the Crisis and Suggestions for Further
Research (Jean-Pierre Lardy).
CHAPTER 2 Quantitative Finance: Friend or Foe? (Benjamin Herzog
and JulienTurc).
PART II: CREDIT DERIVATIVES: METHOD.
CHAPTER 3 An Introduction to Multiname Modeling in Credit Risk
(Aur?elien Alfonsi).
CHAPTER 4 A Simple Dynamic Model for Pricing and Hedging
Heterogeneous CDOs (Andrei V. Lopatin).
CHAPTER 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down
Approach (Igor Halperin).
CHAPTER 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the
Gap between Theory and Practice (Areski Cousin and Jean-Paul
Laurent).
CHAPTER 7 Filtering and Incomplete Information in Credit Risk
(R¨udiger Frey and Thorsten Schmidt).
CHAPTER 8 Options on Credit Default Swaps and Credit Default
Indexes (MarekRutkowski).
PART III: CREDIT DERIVATIVES: PRODUCTS.
CHAPTER 9 Valuation of Structured Finance Products with Implied
FactorModels (Jovan Nedeljkovic, Dan Rosen, and David
Saunders).
CHAPTER 10 Toward Market-Implied Valuations of Cash-Flow CLO
Structures (Philippos Papadopoulos).
CHAPTER 11 Analysis of Mortgage-Backed Securities: Before and
After the Credit Crisis (Harvey J. Stein, Alexander Belikoff,
Kirill Levin, and Xusheng Tian).
PART IV: COUNTERPARTY RISK PRICING AND CREDIT VALUATION
ADJUSTMENT.
CHAPTER 12 CVA Computation for Counterparty Risk Assessment in
Credit Portfolios (Samson Assefa,Tomasz R.Bielecki,
St?ephaneCr?epey, and Monique Jeanblanc).
CHAPTER 13 Structural Counterparty Risk Valuation for Credit
Default Swaps (Christophette Blanchet-Scalliet and Fr?ed?eric
Patras).
CHAPTER 14 Credit Calibration with Structural Models and Equity
Return Swap Valuation under Counterparty Risk (DamianoBrigo,Massimo
Morini, and MarcoTarenghi).
CHAPTER 15 Counterparty Valuation Adjustments (Harvey J. Stein and
Kin Pong Lee).
CHAPTER 16 Counter party Risk Management and Valuation (Mi CHAel
Pykhtin).
PART V: EQUITY TO CREDIT.
CHAPTER 17 Pricing and Hedging with Equity-Credit Models (Benjamin
Herzog and JulienTurc).
CHAPTER 18 Unified Credit-Equity Modeling (Vadim Linetsky and
Rafael Mendoza-Arriaga).
PART VI: MISCELLANEA: LIQUIDITY, RATINGS, RISK CONTRIBUTIONS, AND
SIMULATION.
CHAPTER 19 Liquidity Modeling for Credit Default Swaps: An
Overview (Damiano Brigo,Mirela Predescu, and Agostino
Capponi).
CHAPTER 20 Stressing Rating Criteria Allowing for Default
Clustering: The CPDO case (RobertoTorresetti and Andrea
Pallavicini).
CHAPTER 21 Interacting Path Systems for Credit Risk (Pierre Del
Moral and Fr?ed?eric Patras).
CHAPTER 22 Credit Risk Contributions (Dan Rosen and David
Saunders).
Conclusion (Tomasz R.Bielecki,DamianoBrigo, and Fr?ed?eric
Patras).
Further Reading.
About the Contributors.
Index.
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书籍介绍
A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.
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