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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

Introduction

The recent decade has witnessed a rapid development of more and more advanced quantitative methodologies for modeling, valuation, and risk management of credit risk, with focus on credit derivatives that constitute the vast majority of credit markets. In part, this rapid development was a response of academics and practitioners to the demands of trading and risk managing in the rapidly growing market of more and more complex credit derivative products. Even basic credit derivatives such as credit default swaps (CDSs) have witnessed considerable growth, reaching a notional value of US$45 trillion by the end of 2007, although notional amounts fell during 2008 to $38.6 trillion.1 More complex credit derivatives, such as collateralized ...

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Publisher Resources

ISBN: 9781118003831Purchase book