Credit Risk Frontiers: Subprime Crisis, Pricing And Hedging, Cva, Mbs, Ratings, And Liquidity(ISBN=9781576603581) mobi 下载 网盘 caj lrf pdf txt 阿里云

　　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.

Foreword (Greg M.Gupton).

Introduction (Tomasz R.Bielecki,DamianoBrigo, and Fr?ed?eric

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 JulienTurc).

PART II: CREDIT DERIVATIVES: METHOD.

　CHAPTER 3 An Introduction to Multiname Modeling in Credit Risk

(Aur?elien 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

(R¨udiger Frey and Thorsten Schmidt).

　CHAPTER 8 Options on Credit Default Swaps and Credit Default

Indexes (MarekRutkowski).

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 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,

St?ephaneCr?epey, and Monique Jeanblanc).

　CHAPTER 13 Structural Counterparty Risk Valuation for Credit

Default Swaps (Christophette Blanchet-Scalliet and Fr?ed?eric

Patras).

　CHAPTER 14 Credit Calibration with Structural Models and Equity

Return Swap Valuation under Counterparty Risk (DamianoBrigo,Massimo

Morini, and MarcoTarenghi).

　CHAPTER 15 Counterparty Valuation Adjustments (Harvey J. Stein and

Kin Pong Lee).

　CHAPTER 16 Counter party Risk Management and Valuation (Mi　CHAel

Pykhtin).

PART V: EQUITY TO CREDIT.

　CHAPTER 17 Pricing and Hedging with Equity-Credit Models (Benjamin

Herzog and JulienTurc).

　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 Fr?ed?eric Patras).

　CHAPTER 22 Credit Risk Contributions (Dan Rosen and David

Saunders).

Conclusion (Tomasz R.Bielecki,DamianoBrigo, and Fr?ed?eric

Patras).

Further Reading.

About the Contributors.

Index.

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书籍介绍

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.