Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity / Tomasz R. Bielecki, Damiano Brigo, and Frédéric Patras.

Format:

Book

Author/Creator:

Bielecki, Tomasz R., 1955-

Contributor:

Brigo, Damiano, 1966-

Patras, Frédéric.

Series:

Bloomberg Financial

Bloomberg Financial ; v.138

Language:

English

Subjects (All):

Credit derivatives--United States.

Global Financial Crisis, 2008-2009.

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:

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:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786613025098

9781283025096

1283025094

9781118531839

1118531833

9780470879238

0470879238

OCLC:

708566196