Credit Risk FrontiersSubprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Bloomberg Financial, Band 138 1. Aufl.
A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.
Foreword ixGreg M.Gupton Introduction 1Tomasz R. Bielecki, Damiano Brigo, and Frederic Patras PART I: EXPERT VIEWS CHAPTER 1 Origins of the Crisis and Suggestions for Further Research 7Jean-Pierre Lardy CHAPTER 2 Quantitative Finance: Friend or Foe? 19Benjamin Herzog and Julien Turc PART II: CREDIT DERIVATIVES: METHODS CHAPTER 3 An Introduction to Multiname Modeling in Credit Risk 35Aurelien Alfonsi CHAPTER 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs 71Andrei V. Lopatin CHAPTER 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach 105Igor Halperin CHAPTER 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice 149Areski Cousin and Jean-Paul Laurent CHAPTER 7 Filtering and Incomplete Information in Credit Risk 185Rudiger Frey and Thorsten Schmidt CHAPTER 8 Options on Credit Default Swaps and Credit Default Indexes 219Marek Rutkowski PART III: CREDIT DERIVATIVES: PRODUCTS CHAPTER 9 Valuation of Structured Finance Products with Implied FactorModels 283Jovan Nedeljkovic, Dan Rosen, and David Saunders CHAPTER 10 Toward Market-Implied Valuations of Cash-Flow CLO Structures 319Philippos Papadopoulos CHAPTER 11 Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis 345Harvey J. Stein, Alexander L. Belikoff, Kirill Levin, and Xusheng Tian PART IV: COUNTERPARTY RISK PRICING AND CREDIT VALUATION ADJUSTMENT CHAPTER 12 CVA Computation for Counterparty Risk Assessment in Credit Portfolios 397Samson Assefa, Tomasz R. Bielecki, Stephane Crepey, and Monique Jeanblanc CHAPTER 13 Structural Counterparty Risk Valuation for Credit Default Swaps 437Christophette Blanchet-Scalliet and Frederic Patras CHAPTER 14 Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk 457Damiano Brigo, Massimo Morini, and Marco Tarenghi CHAPTER 15 Counterparty Valuation Adjustments 485Harvey J. Stein and Kin Pong Lee CHAPTER 16 Counterparty Risk Management and Valuation 507Michael Pykhtin PART V: EQUITY TO CREDIT CHAPTER 17 Pricing and Hedging with Equity-Credit Models 539Benjamin Herzog and Julien Turc CHAPTER 18 Unified Credit-Equity Modeling 553Vadim Linetsky and Rafael Mendoza-Arriaga PART VI: MISCELLANEA: LIQUIDITY, RATINGS, RISK CONTRIBUTIONS, AND SIMULATION CHAPTER 19 Liquidity Modeling for Credit Default Swaps: An Overview 587Damiano Brigo, Mirela Predescu, and Agostino Capponi CHAPTER 20 Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case 619Roberto Torresetti and Andrea Pallavicini CHAPTER 21 Interacting Path Systems for Credit Risk 649Pierre Del Moral and Frederic Patras CHAPTER 22 Credit Risk Contributions 675Dan Rosen and David Saunders Conclusion 721Tomasz R. Bielecki, Damiano Brigo, and Frederic Patras Further Reading 725 About the Contributors 727 Index 729
Tomasz R. Bielecki is a Professor of Applied Mathematics at the Illinois Institute of Technology. He is the author of numerous research papers in the areas of stochastic analysis, stochastic control, manufacturing systems, operations research, and mathematical finance. Bielecki is a coauthor of the monographs Credit Risk: Modeling, Valuation and Hedging and Credit Risk Modeling. He has been a recipient of various research grants and awards and consults for various financial companies. Damiano Brigo was recently appointed as Gilbart Professor of Financial Mathematics at King's College, London, heading the research of the mathematicalfinance group. He has published more than fifty worksin top journals on mathematical finance, systemstheory, probability, and statistics; a book for Springer-Verlag that has become a field reference in stochasticinterest rate modeling; and a book for Wiley on creditmodels and the crisis. Brigo obtained a PhD in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam. Frédéric Patras is Director of Research at the Centre National de la Recherche Scientifique (Université de Nice, France) and head of quantitative analysis at Zeliade Systems, a software and service provider for financial institutions. He studied at the école Normale Supérieure (Paris) and obtained a PhD in mathematics at the Université Paris 7–Denis Diderot. He has authored more than thirty research papers in combinatorics, mathematical physics, probability, statistics, and mathematical finance.
The size and complexity of credit markets in general, and credit derivatives in particular,have posed a serious challenge for both marketpractitioners and quantitative modelers. While thedemands of trading and risk management in this rapidly growing market have spurred the development of quantitative methodologies for modeling, valuation, and management of credit risk—with a focus on credit derivatives—the recent financial crisis has proven that the challenges we face in this field have not been fully, and sometimes, properly addressed. Nobody understands this better than Tomasz Bielecki, Damiano Brigo, and Frédéric Patras. And now, with Credit Risk Frontiers, they've created an innovative volume—comprised of contributed articles from some of today's most respected academics and practitioners in this area—that deals with several urgent topics, such as the subprime crisis, the pricing and hedging of credit risk, collateralized loan obligations (CLO), ratings, and liquidity. Divided into six comprehensive parts, this reliable guide provides a coherent presentation of the recent advancements in the theory and practice of credit risk analysis and management, with an emphasis on issues that are relevant to the current state, and future, of credit markets. Page by page, Credit Risk Frontiers: Offers expert insights on the role of quantitative modeling during the recent credit crisis and the modeling lessons learned from this period Discusses general methods in multiname credit derivatives—namely derivatives products that depend on more than one credit entity at the same time Explores asset-backed securities (ABS), in which the analysis of cash flows represents specific difficulties that aren't present in the familiar synthetic collateralized debt obligation (CDO) framework Details the hybrid modeling of credit and equity, and examines the application domain of equity-to-credit modeling that runs from the joint pricing of credit and equity to relative value analysis Addresses issues associated with the valuation of credit valuation adjustments (CVA) and counterparty risk in the current environment And much more The information found here presents a renewed picture of the field, taking into account the lessons of the past to push forward with new models, ideas, and methods. Designed for those who are serious about understanding new ways of modeling and managing credit risk and derivatives, Credit Risk Frontiers will help you excel at this difficult endeavor.
CREDIT RISK FRONTIERS When the financial crisis started in 2007 and exploded in 2008, markets experienced one of the most severe shocks ever. During this time, it became clear that there were some serious problems with credit risk modeling in general and credit derivatives in particular. In the wake of this event, many involved in this field were left asking: What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and examining important issues exposed by the financial crisis. PRAISE FOR CREDIT RISK FRONTIERS "The role of credit derivatives in the current financial crisis has been widely discussed by regulators, investors, academics, and the general public. In this comprehensive book, the editors put together an impressive array of contributions written by the well-known experts in the field. It would be helpful to anyone who wants to understand the theoretical and practicalaspects of credit derivatives and their role in the broader financial context. I recommend it highly." —Professor Alexander Lipton, Co-head of the Global Quantitative Group, Bank of America Merrill Lynch and Visiting Professor, Imperial College "This is a collection of papers dealing with credit risk modeling and credit derivatives with great clarity. The coverage is extensive, from expert opinions on the current credit crisis to cutting-edge research on the credit market, including the valuation of CVA and counterparty risk, which is one of the hottest issues in the current environment. The volume should be read not only by credit specialists but also academics and students in particular who wish to work in this area." —Masaaki Kijima, Graduate School of Economics, Kyoto University
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