Product Description
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 spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques.
- Provides a coherent presentation of recent advances in the theory and practice of credit derivatives
- Takes into account the new products and risk requirements of a post financial crisis world
- Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects
If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.
From the Inside Flap
Nobody understands this better than Tomasz Bielecki, Damiano Brigo, and Frédéric Patras. And now, with Credit Risk Frontiers, they′ve created an innovative volume—comprised of contributed articles from some of today′s most respected academics and practitioners in this area—that deals with several urgent topics, such as the subprime crisis, the pricing and hedging of credit risk, collateralized loan obligations (CLO), ratings, and liquidity.
Divided into six comprehensive parts, this reliable guide provides a coherent presentation of the recent advancements in the theory and practice of credit risk analysis and management, with an emphasis on issues that are relevant to the current state, and future, of credit markets. Page by page, Credit Risk Frontiers:
- Offers expert insights on the role of quantitative modeling during the recent credit crisis and the modeling lessons learned from this period
- Discusses general methods in multiname credit derivatives—namely derivatives products that depend on more than one credit entity at the same time
- Explores asset–backed securities (ABS), in which the analysis of cash flows represents specific difficulties that aren′t present in the familiar synthetic collateralized debt obligation (CDO) framework
- Details the hybrid modeling of credit and equity, and examines the application domain of equity–to–credit modeling that runs from the joint pricing of credit and equity to relative value analysis
- Addresses issues associated with the valuation of credit valuation adjustments (CVA) and counterparty risk in the current environment
- And much more
The information found here presents a renewed picture of the field, taking into account the lessons of the past to push forward with new models, ideas, and methods. Designed for those who are serious about understanding new ways of modeling and managing credit risk and derivatives, Credit Risk Frontiers will help you excel at this difficult endeavor.
From the Back Cover
When the financial crisis started in 2007 and exploded in 2008, markets experienced one of the most severe shocks ever. During this time, it became clear that there were some serious problems with credit risk modeling in general and credit derivatives in particular.
In the wake of this event, many involved in this field were left asking: 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 examining important issues exposed by the financial crisis.
PRAISE FOR CREDIT RISK FRONTIERS
"The role of credit derivatives in the current financial crisis has been widely discussed by regulators, investors, academics, and the general public. In this comprehensive book, the editors put together an impressive array of contributions written by the well–known experts in the field. It would be helpful to anyone who wants to understand the theoretical and practicalaspects of credit derivatives and their role in the broader financial context. I recommend it highly."
—Professor Alexander Lipton, Co–head of the Global Quantitative Group, Bank of America Merrill Lynch and Visiting Professor, Imperial College
"This is a collection of papers dealing with credit risk modeling and credit derivatives with great clarity. The coverage is extensive, from expert opinions on the current credit crisis to cutting–edge research on the credit market, including the valuation of CVA and counterparty risk, which is one of the hottest issues in the current environment. The volume should be read not only by credit specialists but also academics and students in particular who wish to work in this area."
—Masaaki Kijima, Graduate School of Economics, Kyoto University
About the Author
Damiano Brigo was recently appointed as Gilbart Professor of Financial Mathematics at King′s College, London, heading the research of the mathematicalfinance group. He has published more than fifty worksin top journals on mathematical finance, systemstheory, probability, and statistics; a book for Springer–Verlag that has become a field reference in stochasticinterest rate modeling; and a book for Wiley on creditmodels and the crisis. Brigo obtained a PhD in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam.
Frédéric Patras is Director of Research at the Centre National de la Recherche Scientifique (Université de Nice, France) and head of quantitative analysis at Zeliade Systems, a software and service provider for financial institutions. He studied at the école Normale Supérieure (Paris) and obtained a PhD in mathematics at the Université Paris 7–Denis Diderot. He has authored more than thirty research papers in combinatorics, mathematical physics, probability, statistics, and mathematical finance.
