Commentaire :

ISBN 13 : 978-1-906348-47-2

Sommaire :
Contributeurs : John C. Hull, Ashish Das, Roger M. Stein, Paul McCulley, David Lando, Rene Kallestrup, Robert Litterman, Jeff Rosenberg, Edward I. Altman, Brenda Karlin, Dale F. Gray, Andreas A. Jobst, Stuart M. Turnbull, Vladislav Dubikovsky, Michael Y. Hayes, Lisa R. Goldberg, Ming Liu, Damiano Brigo, Andrea Pallavicini, Roberto Torresetti, Jean-David Fermanian, Alexander Lipton, David Shelton, Alexander Sokol, Jean-Philippe Bouchaud, Lisa Borland, Matteo Marsili, Kartik Anand, Robert A. Jarrow, Philip Protter, Peter J. Zangari, Vineer Bhansali

Introduction

Part 1. The Roots of the Crisis

1. The Credit Crunch of 2007 : What Went Wrong? Why? What Lessons Can be Learned ?
2. Underwriting versus Economy : A New Approach to Decomposing Mortgage Losses
3. Credit Expansion, Leverage and the Shadow Banking System
4. The Collapse of the Icelandic Banking System
5. The Quant Crunch Experience and the Future of Quantitative Investing

Part 2. The Impact on the Markets

6. The Impact of the Crisis on the OTC Derivatives Markets
7. The Re-Emergence of Distressed Exchanges in Corporate Restructurings

Part 3. Risk Management and Regulation

8. Modeling Systemic and Sovereign Risks
9. Measuring and Managing Risk in Innovative Financial Instruments
10. Forecasting Extreme Risk of Equity Portfolios with Fundamental Factors

Part 4. Quantitative Modelling

11. Limits of Implied Credit Correlation Metrics Before and During the Crisis
12. Another View on the Pricing of MBS, CMOs, CDOs of ABS
13. Pricing of Credit Derivatives with or without Counterparty and Collateral Adjustments
14. A Practical Guide to Monte Carlo CVA

Part 5. Market Efficiency and (In)Stability

15. The Endogenous Dynamics of Markets : Price Impact, Feedback Loops and Instabilities
16. Market Panics: Correlation Dynamics, Dispersion, and Tails
17. Financial Complexity and Systemic Stability in Trading Markets
18. The Martingale Theory of Bubbles : Implication for the Valuation of Derivatives and Detecting Bubbles

Part 6. Lessons for Investors

19. Managing through a Crisis : Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios
20. Active Risk Management : a Credit Investor's Perspective
21. Investment Strategy Returns : Volatility, Asymmetry, Fat Tails and the Nature of Alpha

Langue : Anglais

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque