Credit Risk Frontiers / Bloomberg Professional (ePub)

Foreword (Greg M.Gupton). Introduction (Tomasz R. Bielecki, DamianoBrigo, and Frederic Patras). PART I: EXPERT VIEWS. CHAPTER 1: Origins of the Crisis and Suggestions for Further Research (Jean-Pierre Lardy). CHAPTER 2: Quantitative Finance: Friend or Foe? (Benjamin Herzog and Julien Turc). PART II: CREDIT DERIVATIVES: METHODS. CHAPTER 3: An Introduction to Multiname Modeling in Credit Risk (Aurelien Alfonsi). CHAPTER 4: A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs (Andrei V. Lopatin). CHAPTER 5: Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach (Igor Halperin). CHAPTER 6: Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice (Areski Cousin and Jean-Paul Laurent). CHAPTER 7: Filtering and Incomplete Information in Credit Risk (Rudiger Frey and Thorsten Schmidt). CHAPTER 8: Options on Credit Default Swaps and Credit Default Indexes (Marek Rutkowski). PART III: CREDIT DERIVATIVES: PRODUCTS. CHAPTER 9: Valuation of Structured Finance Products with Implied FactorModels (Jovan Nedeljkovic, Dan Rosen, and David Saunders). CHAPTER 10: Toward Market-Implied Valuations of Cash-Flow CLO Structures (Philippos Papadopoulos). CHAPTER 11: Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis (Harvey J. Stein, Alexander L. Belikoff, Kirill Levin, and Xusheng Tian). PART IV: COUNTERPARTY RISK PRICING AND CREDIT VALUATION ADJUSTMENT. CHAPTER 12: CVA Computation for Counterparty Risk Assessment in Credit Portfolios (Samson Assefa, Tomasz R. Bielecki, Stephane Crepey, and Monique Jeanblanc). CHAPTER 13: Structural Counterparty Risk Valuation for Credit Default Swaps (Christophette Blanchet-Scalliet and Frederic Patras). CHAPTER 14: Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (Damiano Brigo, Massimo Morini, and Marco Tarenghi). CHAPTER 15: Counterparty Valuation Adjustments (Harvey J. Stein and Kin Pong Lee). CHAPTER 16: Counterparty Risk

TOMASZ R. BIELECKI is a Professor of Applied Mathematics at the Illinois Institute of Technology. He is the author of numerous research papers in the areas of stochastic analysis, stochastic control, manufacturing systems, operations research, and mathematical finance. Bielecki is a coauthor of the monographs Credit Risk: Modeling, Valuation and Hedging and Credit Risk Modeling. He has been a recipient of various research grants and awards and consults for various financial companies.

DAMIANO BRIGO was recently appointed as Gilbart Professor of Financial Mathematics at King's College, London, heading the research of the mathematical finance group. He has published more than fifty works in top journals on mathematical finance, systems theory, probability, and statistics; a book for Springer-Verlag that has become a field reference in stochastic interest rate modeling; and a book for Wiley on credit models 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.

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