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? 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.

A timely guide to understanding and implementing creditderivativesCredit derivatives are here to stay and will continue to play arole in finance in the future. But what will that role be? Whatissues and challenges should be addressed? And what lessons can belearned from the credit mess?Credit Risk Frontiers offers answers to these and otherquestions by presenting the latest research in this field andaddressing important issues exposed by the financial crisis. Itcovers this subject from a real world perspective, tackling issuessuch as liquidity, poor data, and credit spreads, as well as thelatest innovations in portfolio products and hedging and riskmanagement techniques.* Provides a coherent presentation of recent advances in thetheory and practice of credit derivatives* Takes into account the new products and risk requirements of apost financial crisis world* Contains information regarding various aspects of the creditderivative market as well as cutting edge research regarding thoseaspectsIf you want to gain a better understanding of how creditderivatives can help your trading or investing endeavors, thenCredit Risk Frontiers is a book you need to read.

Foreword ixGreg M. GuptonIntroduction 1Tomasz R. Bielecki, Damiano Brigo, and Frédéric PatrasPart I: Expert ViewsChapter 1 Origins of the Crisis and Suggestions for Further Research 7Jean-Pierre LardyChapter 2 Quantitative Finance: Friend or Foe? 19Benjamin Herzog and Julien TurcPart II: Credit Derivatives: MethodsChapter 3 An Introduction to Multiname Modeling in Credit Risk 35Aurélien AlfonsiChapter 4 A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs 71Andrei V. LopatinChapter 5 Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach 105Igor HalperinChapter 6 Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice 149Areski Cousin and Jean-Paul LaurentChapter 7 Filtering and Incomplete Information in Credit Risk 185Rüdiger Frey and Thorsten SchmidtChapter 8 Options on Credit Default Swaps and Credit Default Indexes 219Marek RutkowskiPart III: Credit Derivatives: ProductsChapter 9 Valuation of Structured Finance Products with Implied Factor Models 283Jovan Nedeljkovic,Dan Rosen, and David SaundersChapter 10 Toward Market-Implied Valuations of Cash-Flow CLO Structures 319Philippos PapadopoulosChapter 11 Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis 345Harvey J. Stein, Alexander L. Belikoff, Kirill Levin, and Xusheng TianPart IV: Counterparty Risk Pricing and Credit Valuation AdjustmentChapter 12 CVA Computation for Counterparty Risk Assessment in Credit Portfolios 397Samson Assefa, Tomasz R.Bielecki, StéphaneCrépey, and Monique JeanblancChapter 13 Structural Counterparty Risk Valuation for Credit Default Swaps 437ChristophetteBlanchet-Scalliet and Frédéric PatrasChapter 14 Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk 457Damiano Brigo, Massimo Morini, and Marco TarenghiChapter 15 Counterparty Valuation Adjustments 485Harvey J. Stein and Kin Pong LeeChapter 16 Counterparty Risk Management and Valuation 507Michael PykhtinPart V: Equity to CreditChapter 17 Pricing and Hedging with Equity-Credit Models 539Benjamin Herzog and Julien TurcChapter 18 Unified Credit-Equity Modeling 553Vadim Linetsky and Rafael Mendoza-ArriagaPart VI: Miscellanea: Liquidity, Ratings, Risk Contributions, and SimulationChapter 19 Liquidity Modeling for Credit Default Swaps: An Overview 587Damiano Brigo, Mirela Predescu, and Agostino CapponiChapter 20 Stressing Rating Criteria Allowing for Default Clustering: The CPDO Case 619Roberto Torresetti and Andrea PallaviciniChapter 21 Interacting Path Systems for Credit Risk 649Pierre Del Moral and Frédéric PatrasChapter 22 Credit Risk Contributions 675Dan Rosen and David SaundersConclusion 721Tomasz R. Bielecki, Damiano Brigo, and Frédéric PatrasFurther Reading 725About the Contributors 727Index 729