Credit Risk Frontiers – Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

<p>Foreword ix<br />Greg M.Gupton</p>
<p>Introduction 1<br />Tomasz R. Bielecki, Damiano Brigo, and Frederic Patras</p>
<p>PART I: EXPERT VIEWS</p>
<p>CHAPTER 1 Origins of the Crisis and Suggestions for Further Research 7<br />Jean–Pierre Lardy</p>
<p>CHAPTER 2 Quantitative Finance: Friend or Foe? 19<br />Benjamin Herzog and Julien Turc</p>
<p>PART II: CREDIT DERIVATIVES: METHODS</p>
<p>CHAPTER 3 An Introduction to Multiname Modeling in Credit Risk 35<br />Aurelien Alfonsi</p>
<p>CHAPTER 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs 71<br />Andrei V. Lopatin</p>
<p>CHAPTER 5 Modeling Heterogeneity of Credit Portfolios: A Top–Down Approach 105<br />Igor Halperin</p>
<p>CHAPTER 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice 149<br />Areski Cousin and Jean–Paul Laurent</p>
<p>CHAPTER 7 Filtering and Incomplete Information in Credit Risk 185<br />Rudiger Frey and Thorsten Schmidt</p>
<p>CHAPTER 8 Options on Credit Default Swaps and Credit Default Indexes 219<br />Marek Rutkowski</p>
<p>PART III: CREDIT DERIVATIVES: PRODUCTS</p>
<p>CHAPTER 9 Valuation of Structured Finance Products with Implied FactorModels 283<br />Jovan Nedeljkovic, Dan Rosen, and David Saunders</p>
<p>CHAPTER 10 Toward Market–Implied Valuations of Cash–Flow CLO Structures 319<br />Philippos Papadopoulos</p>
<p>CHAPTER 11 Analysis of Mortgage–Backed Securities: Before and After the Credit Crisis 345<br />Harvey J. Stein, Alexander L. Belikoff, Kirill Levin, and Xusheng Tian</p>
<p>PART IV: COUNTERPARTY RISK PRICING AND CREDIT VALUATION ADJUSTMENT</p>
<p>CHAPTER 12 CVA Computation for Counterparty Risk Assessment in Credit Portfolios 397<br />Samson Assefa, Tomasz R. Bielecki, Stephane Crepey, and Monique Jeanblanc</p>
<p>CHAPTER 13 Structural Counterparty Risk Valuation for Credit Default Swaps 437<br />Christophette Blanchet–Scalliet and Frederic Patras</p>
<p>CHAPTER 14 Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk 457<br />Damiano Brigo, Massimo Morini, and Marco Tarenghi</p>
<p>CHAPTER 15 Counterparty Valuation Adjustments 485<br />Harvey J. Stein and Kin Pong Lee</p>
<p>CHAPTER 16 Counterparty Risk Management and Valuation 507<br />Michael Pykhtin</p>
<p>PART V: EQUITY TO CREDIT</p>
<p>CHAPTER 17 Pricing and Hedging with Equity–Credit Models 539<br />Benjamin Herzog and Julien Turc</p>
<p>CHAPTER 18 Unified Credit–Equity Modeling 553<br />Vadim Linetsky and Rafael Mendoza–Arriaga</p>
<p>PART VI: MISCELLANEA: LIQUIDITY, RATINGS, RISK CONTRIBUTIONS, AND SIMULATION</p>
<p>CHAPTER 19 Liquidity Modeling for Credit Default Swaps: An Overview 587<br />Damiano Brigo, Mirela Predescu, and Agostino Capponi</p>
<p>CHAPTER 20 Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case 619<br />Roberto Torresetti and Andrea Pallavicini</p>
<p>CHAPTER 21 Interacting Path Systems for Credit Risk 649<br />Pierre Del Moral and Frederic Patras</p>
<p>CHAPTER 22 Credit Risk Contributions 675<br />Dan Rosen and David Saunders</p>
<p>Conclusion 721<br />Tomasz R. Bielecki, Damiano Brigo, and Frederic Patras</p>
<p>Further Reading 725</p>
<p>About the Contributors 727</p>
<p>Index 729</p>