Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity (Bloomberg Financial) - Hardcover

Über die Autorin bzw. den Autor

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 mathematical finance group. He has published more than fifty works in top journals on mathematical finance, systems theory, probability, and statistics; a book for Springer-Verlag that has become a field reference in stochastic interest rate modeling; and a book for Wiley on credit models 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.

Von der hinteren Coverseite

THE SIZE AND COMPLEXITY of credit markets in general, and credit derivatives in particular, have posed a serious challenge for both market practitioners and quantitative modelers. While the demands 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.

Aus dem Klappentext

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.