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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 14

Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk

Damiano Brigo

Gilbart Professor of Financial Mathematics, King's College, London

Massimo Morini

Bocconi University and Banca IMI

Marco Tarenghi

Mediobanca

In this chapter we develop structural first passage models—analytically tractable first passage (AT1P) and scenario barrier time-varying volatility (SBTV)—with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, 2005) and Brigo and Morini (2006). The models can be calibrated exactly to credit spreads using efficient closed-form formulas for default probabilities. In these models default events are caused by the ...

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Publisher Resources

ISBN: 9781118003831Purchase book