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

by Tomasz R. Bielecki, Damiano Brigo, Frédéric Patras
February 2011
Intermediate to advanced content levelIntermediate to advanced
768 pages
22h 39m
English
Bloomberg Press
Content preview from Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Conclusion

This book was conceived just after financial markets had experienced one of the most severe shocks ever. Credit risk and credit derivatives were at the center of the crisis. It is generally agreed that the subprime crisis originated largely with very classical phenomena, including market bubbles (especially in real estate); general underpricing of risk, partly due to macroeconomic choices (such as low risk-free rates); and fraudulent behaviors in the issuance of mortgages and weaknesses in the originate-to-distribute system, to give some examples. Besides this, it has become very clear that there are serious problems in general with credit risk modeling and credit derivatives in particular: their pricing, their conception, and their ...

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Publisher Resources

ISBN: 9781118003831Purchase book