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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…mehr
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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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 mathematical finance group. He has published more than fifty works in top journals on mathematical finance, systems theory, probability, and statistics; a book for Springer-Verlag that has become a field reference in stochastic interest rate modeling; and a book for Wiley on credit models 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 ix Greg M. Gupton Introduction 1 Tomasz R. Bielecki, Damiano Brigo, and Frédéric Patras Part I: Expert Views Chapter 1 Origins of the Crisis and Suggestions for Further Research 7 Jean-Pierre Lardy Chapter 2 Quantitative Finance: Friend or Foe? 19 Benjamin Herzog and Julien Turc Part II: Credit Derivatives: Methods Chapter 3 An Introduction to Multiname Modeling in Credit Risk 35 Aurélien Alfonsi Chapter 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs 71 Andrei V. Lopatin Chapter 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach 105 Igor Halperin Chapter 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice 149 Areski Cousin and Jean-Paul Laurent Chapter 7 Filtering and Incomplete Information in Credit Risk 185 Rüdiger Frey and Thorsten Schmidt Chapter 8 Options on Credit Default Swaps and Credit Default Indexes 219 Marek Rutkowski Part III: Credit Derivatives: Products Chapter 9 Valuation of Structured Finance Products with Implied Factor Models 283 Jovan Nedeljkovic,Dan Rosen, and David Saunders Chapter 10 Toward Market-Implied Valuations of Cash-Flow CLO Structures 319 Philippos Papadopoulos Chapter 11 Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis 345 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 397 Samson Assefa, Tomasz R.Bielecki, StéphaneCrépey, and Monique Jeanblanc Chapter 13 Structural Counterparty Risk Valuation for Credit Default Swaps 437 ChristophetteBlanchet-Scalliet and Frédéric Patras Chapter 14 Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk 457 Damiano Brigo, Massimo Morini, and Marco Tarenghi Chapter 15 Counterparty Valuation Adjustments 485 Harvey J. Stein and Kin Pong Lee Chapter 16 Counterparty Risk Management and Valuation 507 Michael Pykhtin Part V: Equity to Credit Chapter 17 Pricing and Hedging with Equity-Credit Models 539 Benjamin Herzog and Julien Turc Chapter 18 Unified Credit-Equity Modeling 553 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 587 Damiano Brigo, Mirela Predescu, and Agostino Capponi Chapter 20 Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case 619 Roberto Torresetti and Andrea Pallavicini Chapter 21 Interacting Path Systems for Credit Risk 649 Pierre Del Moral and Frédéric Patras Chapter 22 Credit Risk Contributions 675 Dan Rosen and David Saunders Conclusion 721 Tomasz R. Bielecki, Damiano Brigo, and Frédéric Patras Further Reading 725 About the Contributors 727 Index 729
Foreword ix Greg M. Gupton Introduction 1 Tomasz R. Bielecki, Damiano Brigo, and Frédéric Patras Part I: Expert Views Chapter 1 Origins of the Crisis and Suggestions for Further Research 7 Jean-Pierre Lardy Chapter 2 Quantitative Finance: Friend or Foe? 19 Benjamin Herzog and Julien Turc Part II: Credit Derivatives: Methods Chapter 3 An Introduction to Multiname Modeling in Credit Risk 35 Aurélien Alfonsi Chapter 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs 71 Andrei V. Lopatin Chapter 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach 105 Igor Halperin Chapter 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice 149 Areski Cousin and Jean-Paul Laurent Chapter 7 Filtering and Incomplete Information in Credit Risk 185 Rüdiger Frey and Thorsten Schmidt Chapter 8 Options on Credit Default Swaps and Credit Default Indexes 219 Marek Rutkowski Part III: Credit Derivatives: Products Chapter 9 Valuation of Structured Finance Products with Implied Factor Models 283 Jovan Nedeljkovic,Dan Rosen, and David Saunders Chapter 10 Toward Market-Implied Valuations of Cash-Flow CLO Structures 319 Philippos Papadopoulos Chapter 11 Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis 345 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 397 Samson Assefa, Tomasz R.Bielecki, StéphaneCrépey, and Monique Jeanblanc Chapter 13 Structural Counterparty Risk Valuation for Credit Default Swaps 437 ChristophetteBlanchet-Scalliet and Frédéric Patras Chapter 14 Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk 457 Damiano Brigo, Massimo Morini, and Marco Tarenghi Chapter 15 Counterparty Valuation Adjustments 485 Harvey J. Stein and Kin Pong Lee Chapter 16 Counterparty Risk Management and Valuation 507 Michael Pykhtin Part V: Equity to Credit Chapter 17 Pricing and Hedging with Equity-Credit Models 539 Benjamin Herzog and Julien Turc Chapter 18 Unified Credit-Equity Modeling 553 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 587 Damiano Brigo, Mirela Predescu, and Agostino Capponi Chapter 20 Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case 619 Roberto Torresetti and Andrea Pallavicini Chapter 21 Interacting Path Systems for Credit Risk 649 Pierre Del Moral and Frédéric Patras Chapter 22 Credit Risk Contributions 675 Dan Rosen and David Saunders Conclusion 721 Tomasz R. Bielecki, Damiano Brigo, and Frédéric Patras Further Reading 725 About the Contributors 727 Index 729
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