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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

Index

A

ABN Amro

ABSs (asset-backed securities)

pricing

stochastic valuation models

ABX indexes

Accounting

Accrual accounting

Accrued coupon

Acerbi, C.

Acharya, V. V.

Adjustable-rate mortgages (ARMs)

Affine models

Affine point process loss model

Agency-backed mortgage pools

Agency deals

Agency pool issuance

Aggregate loss process

Alfonsi, Aurélien

Algorithms, genetic-type

Alt-A mortgage loans

Amihud illiquidity measure ratio

Amortization

deterministic

early triggers

Analytically tractable first passage model. See AT1P (analytically tractable first passage) model

Andersen, L.

Annuities

Antithetic sampling

Approximation methods

AP study

Arbitrage:

CDO rating

pricing theory

and ratings

Armageddon event

ARMs. See Adjustable-rate mortgages (ARMs) ...

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Publisher Resources

ISBN: 9781118003831Purchase book