دانلود کتاب Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

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.Content: Chapter 1 Origins of the Crisis and Suggestions for Further Research (pages 5–17): Jean?Pierre LardyChapter 2 Quantitative Finance: Friend or Foe? (pages 19–31): Benjamin Herzog and Julien TurcChapter 3 An Introduction to Multiname Modeling in Credit Risk (pages 33–69): Aurelien AlfonsiChapter 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs (pages 71–103): Andrei V. LopatinChapter 5 Modeling Heterogeneity of Credit Portfolios: A Top?Down Approach (pages 105–147): Igor HalperinChapter 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice (pages 149–184): Areski Cousin and Jean?Paul LaurentChapter 7 Filtering and Incomplete Information in Credit Risk (pages 185–218): Rudiger Frey and Thorsten SchmidtChapter 8 Options on Credit Default Swaps and Credit Default Indexes (pages 219–279): Marek RutkowskiChapter 9 Valuation of Structured Finance Products with Implied Factor Models (pages 281–318): Jovan Nedeljkovic, Dan Rosen and David SaundersChapter 10 Toward Market?Implied Valuations of Cash?Flow CLO Structures (pages 319–344): Philippos PapadopoulosChapter 11 Analysis of Mortgage?Backed Securities: Before and After the Credit Crisis (pages 345–394): Harvey J. Stein, Alexander L. Belikoff, Kirill Levin and Xusheng TianChapter 12 CVA Computation for Counterparty Risk Assessment in Credit Portfolios (pages 395–436): Samson Assefa, Tomasz R. Bielecki, Stephane Crepey and Monique JeanblancChapter 13 Structural Counterparty Risk Valuation for Credit Default Swaps (pages 437–455): Christophette Blanchet?Scalliet and Frederic PatrasChapter 14 Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (pages 457–484): Damiano Brigo, Massimo Morini and Marco TarenghiChapter 15 Counterparty Valuation Adjustments (pages 485–506): Harvey J. Stein and Kin Pong LeeChapter 16 Counterparty Risk Management and Valuation (pages 507–536): Michael PykhtinChapter 17 Pricing and Hedging with Equity?Credit Models (pages 537–552): Benjamin Herzog and Julien TurcChapter 18 Unified Credit?Equity Modeling (pages 553–583): Vadim Linetsky and Rafael Mendoza?ArriagaChapter 19 Liquidity Modeling for Credit Default Swaps: An Overview (pages 585–617): Damiano Brigo, Mirela Predescu and Agostino CapponiChapter 20 Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case (pages 619–648): Roberto Torresetti and Andrea PallaviciniChapter 21 Interacting Path Systems for Credit Risk (pages 649–673): Pierre Del Moral and Frederic PatrasChapter 22 Credit Risk Contributions (pages 675–720): Dan Rosen and David Saunders