Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
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.
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).
About the Contributors.
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.
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