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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

Chapter 1

Origins of the Crisis and Suggestions for Further Research

Jean-Pierre Lardy

JPLC

We review several of the factual failures that the 2008 subprime crisis has revealed and analyze the root causes for these. Credit rating, regulation, models, accounting, leverage, risk management, and other aspects are reviewed. In each case, we survey solutions proposed as well as suggest directions for further research.

1.1 Introduction

The many roots of the 2008 financial crisis have been well covered in several publications. The aim of this review is to provide a short list of the ones most frequently raised and in each case try to distill one important aspect of the problem, the current proposals, and, possibly, what could be a direction of research ...

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Publisher Resources

ISBN: 9781118003831Purchase book