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Credit Risk Frontiers-Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, a.pdf
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Bloomberg Press; 1 edition | February 8, 2011 754 pages
我个人觉得不错,收点费用.下附目录GregM.Gupton
Introduction 1
Tomasz R.Bielecki,DamianoBrigo, and Fr´ed´eric Patras
PART I: EXPERT VIEWS
CHAPTER 1
Origins of the Crisis and Suggestions for Further Research 7
Jean-Pierre Lardy
CHAPTER 2
Quantitative Finance: Friend or Foe? 19
BenjaminHerzog and JulienTurc
PART II: CREDIT DERIVATIVES: METHODS
CHAPTER 3
An Introduction to Multiname Modeling in Credit Risk 35
Aur´elien Alfonsi
CHAPTER 4
A Simple Dynamic Model for Pricing and Hedging
Heterogeneous CDOs 71
AndreiV. Lopatin
CHAPTER 5
Modeling Heterogeneity of Credit Portfolios:
A Top-Down Approach 105
Igor Halperin
CHAPTER 6
Dynamic Hedging of Synthetic CDO Tranches: Bridging the
Gap between Theory and Practice 149
Areski Cousin and Jean-Paul Laurent
CHAPTER 7
Filtering and Incomplete Information in Credit Risk 185
R¨udiger Frey and Thorsten Schmidt
CHAPTER 8
Options on Credit Default Swaps and Credit
Default Indexes 219
MarekRutkowski
PART III: CREDIT DERIVATIVES: PRODUCTS
CHAPTER 9
Valuation of Structured Finance Products with
Implied Factor Models 283
JovanNedeljkovic,DanRosen, andDavid Saunders
CHAPTER 10
Toward Market-Implied Valuations of Cash-Flow
CLO Structures 319
Philippos Papadopoulos
CHAPTER 11
Analysis of Mortgage-Backed Securities: Before and
After the Credit Crisis 345
Harvey J. Stein, Alexander L.Belikoff, Kirill Levin, andXushengTian
PART IV: COUNTERPARTY RISK PRICING AND CREDIT
VALUATION ADJUSTMENT
CHAPTER 12
CVA Computation for Counterparty Risk Assessment in
Credit Portfolios 397
Samson Assefa,Tomasz R.Bielecki, St´ephaneCr´epey, andMonique Jeanblanc
CHAPTER 13
Structural Counterparty Risk Valuation for
Credit Default Swaps 437
ChristophetteBlanchet-Scalliet and Fr´ed´eric Patras
CHAPTER 14
Credit Calibration with Structural Models and Equity Return
Swap Valuation under Counterparty Risk 457
DamianoBrigo,MassimoMorini, andMarcoTarenghi
CHAPTER 15
Counterparty Valuation Adjustments 485
Harvey J. Stein and Kin Pong Lee
CHAPTER 16
Counterparty Risk Management and Valuation 507
Michael Pykhtin
PART V: EQUITY TO CREDIT
CHAPTER 17
Pricing and Hedging with Equity-Credit Models 539
BenjaminHerzog and JulienTurc
CHAPTER 18
Unified Credit-Equity Modeling 553
Vadim Linetsky and RafaelMendoza-Arriaga
PART VI: MISCELLANEA: LIQUIDITY, RATINGS, RISK
CONTRIBUTIONS, AND SIMULATION
CHAPTER 19
Liquidity Modeling for Credit Default Swaps: An Overview 587
DamianoBrigo,Mirela Predescu, and Agostino Capponi
CHAPTER 20
Stressing Rating Criteria Allowing for Default Clustering:
The CPDO Case 619
RobertoTorresetti and Andrea Pallavicini
CHAPTER 21
Interacting Path Systems for Credit Risk 649
PierreDelMoral and Fr´ed´eric Patras
CHAPTER 22
Credit Risk Contributions 675
DanRosen andDavid Saunders
Conclusion 721
Tomasz R.Bielecki,DamianoBrigo, and Fr´ed´eric Patras
Further Reading 725
About the Contributors 727
Index 729
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