Tomasz R. Bielecki, Damiano Brigo, Frederic Patras

Credit Risk Frontiers

Subprime Crisis, Pricing and Hedging, Cva, Mbs, Ratings, and Liquidity

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• Financial Series
• Verlag: Wiley-VCH
• Artikelnr. des Verlages: 1W576603580
• 1. Auflage
• Seitenzahl: 768
• Erscheinungstermin: 8. Februar 2011
• Englisch
• Abmessung: 259mm x 189mm x 51mm
• Gewicht: 1495g
• ISBN-13: 9781576603581
• ISBN-10: 157660358X
• Artikelnr.: 30513179

Autorenporträt

Tomasz R. Bielecki is a Professor of Applied Mathematics at the Illinois Institute of Technology. He is the author of numerous research papers in the areas of stochastic analysis, stochastic control, manufacturing systems, operations research, and mathematical finance. Bielecki is a coauthor of the monographs Credit Risk: Modeling, Valuation and Hedging and Credit Risk Modeling. He has been a recipient of various research grants and awards and consults for various financial companies. Damiano Brigo was recently appointed as Gilbart Professor of Financial Mathematics at King's College, London, heading the research of the mathematicalfinance group. He has published more than fifty worksin top journals on mathematical finance, systemstheory, probability, and statistics; a book for Springer-Verlag that has become a field reference in stochasticinterest rate modeling; and a book for Wiley on creditmodels and the crisis. Brigo obtained a PhD in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam. Frédéric Patras is Director of Research at the Centre National de la Recherche Scientifique (Université de Nice, France) and head of quantitative analysis at Zeliade Systems, a software and service provider for financial institutions. He studied at the école Normale Supérieure (Paris) and obtained a PhD in mathematics at the Université Paris 7-Denis Diderot. He has authored more than thirty research papers in combinatorics, mathematical physics, probability, statistics, and mathematical finance.

Inhaltsangabe

Foreword (Greg M.Gupton). Introduction (Tomasz R. Bielecki, DamianoBrigo,
and Frederic 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 Julien Turc).
PART II: CREDIT DERIVATIVES: METHODS. CHAPTER 3: An Introduction to
Multiname Modeling in Credit Risk (Aurelien 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 (Rudiger Frey and Thorsten Schmidt). CHAPTER 8: Options on
Credit Default Swaps and Credit Default Indexes (Marek Rutkowski). 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 L. 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, Stephane Crepey, and Monique Jeanblanc).
CHAPTER 13: Structural Counterparty Risk Valuation for Credit Default Swaps
(Christophette Blanchet-Scalliet and Frederic Patras). CHAPTER 14: Credit
Calibration with Structural Models and Equity Return Swap Valuation under
Counterparty Risk (Damiano Brigo, Massimo Morini, and Marco Tarenghi).
CHAPTER 15: Counterparty Valuation Adjustments (Harvey J. Stein and Kin
Pong Lee). CHAPTER 16: Counterparty Risk Management and Valuation (Michael
Pykhtin). PART V: EQUITY TO CREDIT. CHAPTER 17: Pricing and Hedging with
Equity-Credit Models (Benjamin Herzog and Julien Turc). 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 Frederic Patras). CHAPTER 22:
Credit Risk Contributions (Dan Rosen and David Saunders). Conclusion
(Tomasz R. Bielecki, Damiano Brigo, and Frederic Patras). Further Reading.
About the Contributors. Index.