| Description |
1 online resource (288) |
| Contents |
Cover -- Contents -- Foreword -- Introduction -- Part I: Expert Views -- Chapter 1 Origins of the Crisis and Suggestions for Further Research -- Chapter 2 Quantitative Finance: Friend or Foe? -- Part II: Credit Derivatives -- Chapter 3 An Introduction to Multiname Modeling in Credit Risk -- Chapter 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous Cdos -- Chapter 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach -- Chapter 6 Dynamic Hedging of Synthetic Cdo Tranches: Bridging the Gap Between Theory and Practice -- Chapter 7 Filtering and Incomplete Information in Credit Risk -- Chapter 8 Options on Credit Default Swaps and Credit Default Indexes -- Part III: Credit Derivatives -- Chapter 9 Valuation of Structured Finance Products With Implied Factor Models -- Chapter 10 Toward Market-Implied Valuations of Cash-Flow Clo Structures -- Chapter 11 Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis -- Part IV: Counterparty Risk Pricing And Credit Valuation Adjustment -- Chapter 12 Cva Computation for Counterparty Risk Assessment in Credit Portfolios -- Chapter 13 Structural Counterparty Risk Valuation for Credit Default Swaps -- Chapter 14 Credit Calibration With Structural Models and Equity Return Swap Valuation Under Counterparty Risk -- Chapter 15 Counterparty Valuation Adjustments -- Chapter 16 Counterparty Risk Management and Valuation -- Part V: Equity To Credit -- Chapter 17 Pricing and Hedging With Equity-Credit Models -- Chapter 18 Unified Credit-Equity Modeling -- Part VI: Miscellanea -- Chapter 19 Liquidity Modeling for Credit Default Swaps: An Overview -- Chapter 20 Stressing Rating Criteria Allowing for Default Clustering: The Cpdo Case -- Chapter 21 Interacting Path Systems for Credit Risk -- Chapter 22 Credit Risk Contributions -- Conclusion -- Further Reading -- About the Contributors -- Index. |
| Subject |
Credit derivatives.
|
|
Global Financial Crisis, 2008-2009.
|
|
Credit derivatives -- United States. |
|
Global Financial Crisis, 2008-2009. |
|
Instruments dérivés de crédit. |
|
Crise financière mondiale, 2008-2009. |
|
Credit derivatives |
|
Credit derivatives / United States. |
|
Global Financial Crisis, 2008-2009. |
|
Global Financial Crisis (2008-2009) |
| Chronological Term |
2008-2009 |
| Genre |
Electronic resource. |
| Added Author |
Brigo, Damiano. Author.
|
|
Patras, Frederic. Author.
|
|
Bielecki, Tomasz. |
| ISBN |
9781576603581 |
|
157660358X |
|
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