{"product_id":"credit-risk-frontiers-isbn-9781576603581","title":"Credit Risk Frontiers","description":"\u003cb\u003eA timely guide to understanding and implementing credit derivatives\u003c\/b\u003e  \u003cp\u003eCredit 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?\u003c\/p\u003e \u003cp\u003e\u003ci\u003eCredit Risk Frontiers\u003c\/i\u003e 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eProvides a coherent presentation of recent advances in the theory and practice of credit derivatives\u003c\/li\u003e \u003cli\u003eTakes into account the new products and risk requirements of a post financial crisis world\u003c\/li\u003e \u003cli\u003eContains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eIf you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then \u003ci\u003eCredit Risk Frontiers\u003c\/i\u003e is a book you need to read.\u003c\/p\u003e \u003cp\u003eForeword ix\u003cbr\u003e\u003ci\u003eGreg M. Gupton\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 1\u003cbr\u003e\u003ci\u003eTomasz R. Bielecki, Damiano Brigo, and Fr\u003c\/i\u003e\u003ci\u003eéd\u003c\/i\u003e\u003ci\u003eéric Patras\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I: Expert Views\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 1 Origins of the Crisis and Suggestions for Further Research 7\u003cbr\u003e\u003ci\u003eJean-Pierre Lardy\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 2 Quantitative Finance: Friend or Foe? 19\u003cbr\u003e\u003ci\u003eBenjamin Herzog and Julien Turc\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II: Credit Derivatives: Methods\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 3 An Introduction to Multiname Modeling in Credit Risk 35\u003cbr\u003e\u003ci\u003eAur\u003c\/i\u003e\u003ci\u003eélien Alfonsi\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs 71\u003cbr\u003e\u003ci\u003eAndrei V. Lopatin\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach 105\u003cbr\u003e\u003ci\u003eIgor Halperin\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice 149\u003cbr\u003e\u003ci\u003eAreski Cousin and Jean-Paul Laurent\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 7 Filtering and Incomplete Information in Credit Risk 185\u003cbr\u003e\u003ci\u003eR\u003c\/i\u003e\u003ci\u003eüdiger Frey and Thorsten Schmidt\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 8 Options on Credit Default Swaps and Credit Default Indexes 219\u003cbr\u003e\u003ci\u003eMarek Rutkowski\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III: Credit Derivatives: Products\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 9 Valuation of Structured Finance Products with Implied Factor Models 283\u003cbr\u003e\u003ci\u003eJovan Nedeljkovic,Dan Rosen, and David Saunders\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 10 Toward Market-Implied Valuations of Cash-Flow CLO Structures 319\u003cbr\u003e\u003ci\u003ePhilippos Papadopoulos\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 11 Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis 345\u003cbr\u003e\u003ci\u003eHarvey J. Stein, Alexander L. Belikoff, Kirill Levin, and Xusheng Tian\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV: Counterparty Risk Pricing and Credit Valuation Adjustment\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 12 CVA Computation for Counterparty Risk Assessment in Credit Portfolios 397\u003cbr\u003e\u003ci\u003eSamson Assefa, Tomasz R.Bielecki, St\u003c\/i\u003e\u003ci\u003eéphaneCr\u003c\/i\u003e\u003ci\u003eépey, and Monique Jeanblanc\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 13 Structural Counterparty Risk Valuation for Credit Default Swaps 437\u003cbr\u003e\u003ci\u003eChristophetteBlanchet-Scalliet and Fr\u003c\/i\u003e\u003ci\u003eéd\u003c\/i\u003e\u003ci\u003eéric Patras\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 14 Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk 457\u003cbr\u003e\u003ci\u003eDamiano Brigo, Massimo Morini, and Marco Tarenghi\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 15 Counterparty Valuation Adjustments 485\u003cbr\u003e\u003ci\u003eHarvey J. Stein and Kin Pong Lee\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 16 Counterparty Risk Management and Valuation 507\u003cbr\u003e\u003ci\u003eMichael Pykhtin\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V: Equity to Credit\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 17 Pricing and Hedging with Equity-Credit Models 539\u003cbr\u003e\u003ci\u003eBenjamin Herzog and Julien Turc\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 18 Unified Credit-Equity Modeling 553\u003cbr\u003e\u003ci\u003eVadim Linetsky and Rafael Mendoza-Arriaga\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart VI: Miscellanea: Liquidity, Ratings, Risk Contributions, and Simulation \u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 19 Liquidity Modeling for Credit Default Swaps: An Overview 587\u003cbr\u003e\u003ci\u003eDamiano Brigo, Mirela Predescu, and Agostino Capponi\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 20 Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case 619\u003cbr\u003e\u003ci\u003eRoberto Torresetti and Andrea Pallavicini\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 21 Interacting Path Systems for Credit Risk 649\u003cbr\u003e\u003ci\u003ePierre Del Moral and Fr\u003c\/i\u003e\u003ci\u003eéd\u003c\/i\u003e\u003ci\u003eéric Patras\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 22 Credit Risk Contributions 675\u003cbr\u003e\u003ci\u003eDan Rosen and David Saunders\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eConclusion 721\u003cbr\u003e\u003ci\u003eTomasz R. Bielecki, Damiano Brigo, and Fr\u003c\/i\u003e\u003ci\u003eéd\u003c\/i\u003e\u003ci\u003eéric Patras\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eFurther Reading 725\u003c\/p\u003e \u003cp\u003eAbout the Contributors 727\u003c\/p\u003e \u003cp\u003eIndex 729\u003c\/p\u003e \u003cp\u003e\u003cb\u003eTOMASZ R. BIELECKI\u003c\/b\u003e 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 \u003ci\u003eCredit Risk: Modeling, Valuation and Hedging and Credit Risk Modeling.\u003c\/i\u003e He has been a recipient of various research grants and awards and consults for various financial companies.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eDAMIANO BRIGO\u003c\/b\u003e 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.\u003c\/p\u003e\u003cp\u003e \u003c\/p\u003e\u003cp\u003e\u003cb\u003eFRÉDÉRIC PATRAS\u003c\/b\u003e 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.    \u003c\/p\u003e\u003cp\u003eTHE SIZE AND COMPLEXITY of credit markets in general, and credit derivatives in particular, have posed a serious challenge for both market practitioners and quantitative modelers. While the demands of trading and risk management in this rapidly growing market have spurred the development of quantitative methodologies for modeling, valuation, and management of credit risk—with a focus on credit derivatives—the recent financial crisis has proven that the challenges we face in this field have not been fully, and sometimes, properly addressed. \u003c\/p\u003e\u003cp\u003eNobody understands this better than Tomasz Bielecki, Damiano Brigo, and Frédéric Patras. And now, with \u003ci\u003eCredit Risk Frontiers\u003c\/i\u003e, they’ve created an innovative volume—comprised of contributed articles from some of today’s most respected academics and practitioners in this area—that deals with several urgent topics, such as the subprime crisis, the pricing and hedging of credit risk, collateralized loan obligations (CLO), ratings, and liquidity. \u003c\/p\u003e\u003cp\u003eDivided into six comprehensive parts, this reliable guide provides a coherent presentation of the recent advancements in the theory and practice of credit risk analysis and management, with an emphasis on issues that are relevant to the current state, and future, of credit markets. Page by page, \u003ci\u003eCredit Risk Frontiers:\u003c\/i\u003e \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eOffers expert insights on the role of quantitative modeling during the recent credit crisis and the modeling lessons learned from this period\u003c\/li\u003e \u003cli\u003eDiscusses general methods in multiname credit derivatives—namely derivatives products that depend on more than one credit entity at the same time\u003c\/li\u003e \u003cli\u003eExplores asset-backed securities (ABS), in which the analysis of cash flows represents specific difficulties that aren’t present in the familiar synthetic collateralized debt obligation (CDO) framework\u003c\/li\u003e \u003cli\u003eDetails the hybrid modeling of credit and equity, and examines the application domain of equity-to-credit modeling that runs from the joint pricing of credit and equity to relative value analysis\u003c\/li\u003e \u003cli\u003eAddresses issues associated with the valuation of credit valuation adjustments (CVA) and counterparty risk in the current environment\u003c\/li\u003e \u003cli\u003eAnd much more\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003eThe information found here presents a renewed picture of the field, taking into account the lessons of the past to push forward with new models, ideas, and methods. Designed for those who are serious about understanding new ways of modeling and managing credit risk and derivatives, \u003ci\u003eCredit Risk Frontiers\u003c\/i\u003e will help you excel at this difficult endeavor.\u003c\/p\u003e","brand":"Bloomberg Press","offers":[{"title":"Default Title","offer_id":47989003649253,"sku":"NP9781576603581","price":60.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781576603581.jpg?v=1761782393","url":"https:\/\/k12savings.com\/products\/credit-risk-frontiers-isbn-9781576603581","provider":"K12savings","version":"1.0","type":"link"}