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

توضیحات

CREDIT RISK FRONTIERS

When the financial crisis started in 2007 and exploded in 2008, markets experienced one of the most severe shocks ever. During this time, it became clear that there were some serious problems with credit risk modeling in general and credit derivatives in particular.

In the wake of this event, many involved in this field were left asking: 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 examining important issues exposed by the financial crisis.

PRAISE FOR CREDIT RISK FRONTIERS

"The role of credit derivatives in the current financial crisis has been widely discussed by regulators, investors, academics, and the general public. In this comprehensive book, the editors put together an impressive array of contributions written by the well-known experts in the field. It would be helpful to anyone who wants to understand the theoretical and practicalaspects of credit derivatives and their role in the broader financial context. I recommend it highly."
Professor Alexander Lipton, Co-head of the Global Quantitative Group, Bank of America Merrill Lynch and Visiting Professor, Imperial College

"This is a collection of papers dealing with credit risk modeling and credit derivatives with great clarity. The coverage is extensive, from expert opinions on the current credit crisis to cutting-edge research on the credit market, including the valuation of CVA and counterparty risk, which is one of the hottest issues in the current environment. The volume should be read not only by credit specialists but also academics and students in particular who wish to work in this area."
Masaaki Kijima, Graduate School of Economics, Kyoto University


Tomasz R. Bielecki 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 Credit Risk: Modeling, Valuation and Hedging and Credit Risk Modeling. He has been a recipient of various research grants and awards and consults for various financial companies.

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.

Foreword (Greg M.Gupton).

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).

Further Reading.

About the Contributors.

Index.