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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 9

Valuation of Structured Finance Products with Implied Factor Models

Jovan Nedeljkovic

R2 Financial Technologies

Dan Rosen

R2 Financial Technologies and The Fields Institute

David Saunders

University of Waterloo, Canada

The recent credit crisis has highlighted limitations of the industry’s general understanding and risk management practices regarding structured credit portfolios. Market participants clearly misunderstood and underestimated the risks in many securities, especially with respect to the default correlation, systematic risk, and contagion effects. In particular, pricing models for asset-backed security (ABS) types and collateralized debt obligation (CDO) securities have been often overly simplistic, with many institutions ...

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Publisher Resources

ISBN: 9781118003831Purchase book