Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity /

• Main Author: Bielecki, Tomasz R., 1955-
• Other Authors: Brigo, Damiano, 1966-, Patras, Frédéric
• Format: eBook
• Language: English
• Published: Hoboken, N.J. : Wiley, 2011.
• Series: Bloomberg Financial.
• Subjects: Global Financial Crisis (2008-2009); 2008-2009; Credit derivatives > United States.; Global Financial Crisis, 2008-2009.; BUSINESS & ECONOMICS > Investments & Securities > General.; Credit derivatives.; United States.; Electronic books.

"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? C...

Table of 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.