Credit risk frontiers subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity
Title:
Credit risk frontiers subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity
Author:
Bielecki, Tomasz R., 1955-
ISBN:
9780470879238
Personal Author:
Publication Information:
Hoboken, N.J. : Wiley, 2011.
Physical Description:
x, 754 p.
Contents:
pt. 1. Expert views -- pt. 2. Credit derivatives : methods -- pt. 3. Credit derivatives : products -- pt. 4. Counterparty risk pricing and credit valuation adjustment -- pt. 5. Equity to credit -- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.
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