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

Show other versions (1)
Bibliographic Details
Main Authors: Brigo, Damiano (Author), Patras, Frederic (Author)
Format: Electronic eBook
Language:Inglés
Published: Bloomberg Press 2011.
Subjects:
2008-2009
Credit derivatives.
Global Financial Crisis, 2008-2009.
Credit derivatives > United States.
Instruments dérivés de crédit.
Crise financière mondiale, 2008-2009.
Credit derivatives
Credit derivatives / United States.
Electronic resource.
Online Access:Texto completo (Requiere registro previo con correo institucional)
Table of Contents:
  • Cover
  • Contents
  • Foreword
  • Introduction
  • Part I: Expert Views
  • Chapter 1 Origins of the Crisis and Suggestions for Further Research
  • Chapter 2 Quantitative Finance: Friend or Foe?
  • Part II: Credit Derivatives
  • Chapter 3 An Introduction to Multiname Modeling in Credit Risk
  • Chapter 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous Cdos
  • Chapter 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach
  • Chapter 6 Dynamic Hedging of Synthetic Cdo Tranches: Bridging the Gap Between Theory and Practice
  • Chapter 7 Filtering and Incomplete Information in Credit Risk
  • Chapter 8 Options on Credit Default Swaps and Credit Default Indexes
  • Part III: Credit Derivatives
  • Chapter 9 Valuation of Structured Finance Products With Implied Factor Models
  • Chapter 10 Toward Market-Implied Valuations of Cash-Flow Clo Structures
  • Chapter 11 Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis
  • Part IV: Counterparty Risk Pricing And Credit Valuation Adjustment
  • Chapter 12 Cva Computation for Counterparty Risk Assessment in Credit Portfolios
  • Chapter 13 Structural Counterparty Risk Valuation for Credit Default Swaps
  • Chapter 14 Credit Calibration With Structural Models and Equity Return Swap Valuation Under Counterparty Risk
  • Chapter 15 Counterparty Valuation Adjustments
  • Chapter 16 Counterparty Risk Management and Valuation
  • Part V: Equity To Credit
  • Chapter 17 Pricing and Hedging With Equity-Credit Models
  • Chapter 18 Unified Credit-Equity Modeling
  • Part VI: Miscellanea
  • Chapter 19 Liquidity Modeling for Credit Default Swaps: An Overview
  • Chapter 20 Stressing Rating Criteria Allowing for Default Clustering: The Cpdo Case
  • Chapter 21 Interacting Path Systems for Credit Risk
  • Chapter 22 Credit Risk Contributions
  • Conclusion
  • Further Reading
  • About the Contributors
  • Index.

Similar Items