Book description
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.
Table of contents
- Cover
- Series
- Title Page
- Copyright
- Foreword
- Introduction
- Part I: Expert Views
-
Part II: Credit Derivatives: Methods
- Chapter 3: An Introduction to Multiname Modeling in Credit Risk
-
Chapter 4: A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs
- 4.1 Introduction
- 4.2 Model
- 4.3 Semianalytic Approach
- 4.4 Model Calibration
- 4.5 Hedging a CDO Tranche
- 4.6 Portfolio with Heterogeneous Recovery Coefficients
- 4.7 Markovian Projection onto the Default Contagion Model
- 4.8 Stochastic Recovery Coefficients
- 4.9 Conclusion
- Appendix 4A: Derivation of the Fokker-Planck Equation (4.3)
- Appendix 4B: Markovian Projection onto the One-Dimensional Markov Chain
- Appendix 4C: Self-Consistency Criterion for the Semianalytic Approximation
- Acknowledgments
- 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
- 7.1 Introduction
- 7.2 A Short Introduction to Stochastic Filtering
- 7.3 Credit Risk Models under Incomplete Information
- 7.4 Structural Models I: Duffie and Lando (2001)
- 7.5 Structural Models II: Frey and Schmidt (2009)
- 7.6 Constructing Reduced-Form Credit Risk Models via Nonlinear Filtering
- 7.7 Numerical Case Studies
- Chapter 8: Options on Credit Default Swaps and Credit Default Indexes
- Part III: Credit Derivatives: Products
-
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
- 14.1 Introduction
- 14.2 The Analytically Tractable First Passage (AT1P) Model
- 14.3 Calibration of the Structural Model to CDS Data
- 14.4 A Case Study with AT1P: Lehman Brothers Default History
- 14.5 SBTV Model (Brigo and Morini 2006)
- 14.6 A Case Study with SBTV: Lehman Brothers Default History
- 14.7 A Fundamental Example: Pricing Counterparty Risk in Equity Return Swaps
- 14.8 Conclusion
- 14.9 Appendix 14A: AT1P Model: Proof
- Chapter 15: Counterparty Valuation Adjustments
- Chapter 16: Counterparty Risk Management and~Valuation
- Part V: Equity to Credit
-
Part VI: Miscellanea: Liquidity, Ratings, Risk Contributions, and Simulation
- 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
- 22.1 Introduction
- 22.2 Credit Risk Model
- 22.3 Risk Contributions and Capital Allocation
- 22.4 Marginal Contributions in the Linear, Homogeneous Case
- 22.5 Marginal Contributions for Linear, Nonhomogeneous Functions
- 22.6 Marginal Contributions for Nonlinear Risk Functions
- 22.7 Conclusion
- Appendix: Factor Models of Credit Risk
- Acknowledgments
- Conclusion
- Further Reading
- About the Contributors
- Index
Product information
- Title: Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
- Author(s):
- Release date: February 2011
- Publisher(s): Bloomberg Press
- ISBN: 9781576603581
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