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

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.

This book addresses these aspects of modeling and analysis of credit derivatives that have not been adequately studied and/or adequately understood in the past. The book presents both survey chapters regarding various aspects of the credit derivative market as well as chapters featuring cutting edge research regarding those aspects. Once the dust settles after the current credit crisis, the credit markets will be facing challenges that this research addresses, contributing to the improved health of the post-crisis credit world. Readers will get a coherent presentation of recent advance in the theory and practice of credit derivatives with a focus on specific topics that are relevant to the current credit crisis and the future of credit markets. The research is presented at a high mathematical and computational level. Potential contributors will be truly international in flavor and include Peter Carr; Frank Fabozzi; professors from Columbia University, University of Chicago, Stanford; and experts from industry such as JP Morgan, Fitch Ratings, ABN AMRO, and Soc Gen. A preliminary list of potential contributors (described as "impressive" by Bjorn Flesaker of Peter Carr's group) that the authors plan to contact is on the server.

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.