Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

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.