Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity / Tomasz R. Bielecki, Damiano Brigo, and Frédéric Patras.
- Format:
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- Author/Creator:
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- Contributor:
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- Series:
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- Language:
- English
- Subjects (All):
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- Physical Description:
- 1 online resource (768 p.)
- Edition:
- 1st edition
- Place of Publication:
- Hoboken, N.J. : Wiley, 2011.
- Language Note:
- English
- System Details:
- text file
- Summary:
- 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
- Contents:
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- pt. 1. Expert views
- pt. 2. Credit derivatives : methods
- pt. 3. Credit derivatives : products
- pt. 4. Counterparty risk pricing and credit valuation adjustment
- pt. 5. Equity to credit
- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.
- Notes:
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- Description based upon print version of record.
- Includes bibliographical references and index.
- ISBN:
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- 9786613025098
- 9781283025096
- 1283025094
- 9781118531839
- 1118531833
- 9780470879238
- 0470879238
- OCLC:
- 708566196
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