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Counterparty credit risk, c...
The book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular 'concrete' financial situations across asset classes, incl
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monografia Rebiun16094957 https://catalogo.rebiun.org/rebiun/record/Rebiun16094957 m o d cr ||| 130111s2013 enk ob 001 0 eng 2013001506 836201010. 841908770. 841908772. 868031850 9780470661673 MobiPocket) 0470661674 MobiPocket) 9780470661789 ePub) 047066178X ePub) 9780470662496 Adobe PDF) 0470662492 Adobe PDF) 9780470748466 (cloth) 9781299315891 1299315895 9781118818589 111881858X 047074846X 9780470748466 AU@ 000053299327 CHVBK 303036931 DEBSZ 397500785 H9G 000599611 NLGGC 357342208 NZ1 15341893 DKDLA 820120-katalog:000654360 DEBBG BV042742802 DEBBG BV041905057 UAM 991006044529704211 462839 MIL DLC. eng. rda. DLC. EBLCP. MHW. CDX. N$T. IDEBK. E7B. B24X7. MEAUC. CUS. YDXCP. CUI. TEFOD. DEBSZ. DKDLA. CAUOI. OCLCO. DEBBG. TEFOD pcc BUS. 027000 bisacsh Brigo, Damiano 1966-) Counterparty credit risk, collateral and funding Recurso electrónico-En línea] with pricing cases for all asset classes Damiano Brigo, Massimo Morini, Andrea Pallavicini Chichester, West Sussex John Wiley & Sons Inc. 2013 Chichester, West Sussex Chichester, West Sussex John Wiley & Sons Inc. 1 online resource 1 online resource [Wiley finance series] Includes bibliographical references and index Counterparty Credit Risk, Collateral and Funding; Contents; Ignition; Abbreviations and Notation; PART I COUNTERPARTY CREDIT RISK, COLLATERAL AND FUNDING; 1 Introduction; 1.1 A Dialogue on CVA; 1.2 Risk Measurement: Credit VaR; 1.3 Exposure, CE, PFE, EPE, EE, EAD; 1.4 Exposure and Credit VaR; 1.5 Interlude: P and Q; 1.6 Basel; 1.7 CVA and Model Dependence; 1.8 Input and Data Issues on CVA; 1.9 Emerging Asset Classes: Longevity Risk; 1.10 CVA and Wrong Way Risk; 1.11 Basel III: VaR of CVA and Wrong Way Risk; 1.12 Discrepancies in CVA Valuation: Model Risk and Payoff Risk 1.13 Bilateral Counterparty Risk: CVA and DVA1.14 First-to-Default in CVA and DVA; 1.15 DVA Mark-to-Market and DVA Hedging; 1.16 Impact of Close-Out in CVA and DVA; 1.17 Close-Out Contagion; 1.18 Collateral Modelling in CVA and DVA; 1.19 Re-Hypothecation; 1.20 Netting; 1.21 Funding; 1.22 Hedging Counterparty Risk: CCDS; 1.23 Restructuring Counterparty Risk: CVA-CDOs and Margin Lending; 2 Context; 2.1 Definition of Default: Six Basic Cases; 2.2 Definition of Exposures; 2.3 Definition of Credit Valuation Adjustment (CVA); 2.4 Counterparty Risk Mitigants: Netting 2.5 Counterparty Risk Mitigants: Collateral2.5.1 The Credit Support Annex (CSA); 2.5.2 The ISDA Proposal for a New Standard CSA; 2.5.3 Collateral Effectiveness as a Mitigant; 2.6 Funding; 2.6.1 A First Attack on Funding Cost Modelling; 2.6.2 The General Funding Theory and its Recursive Nature; 2.7 Value at Risk (VaR) and Expected Shortfall (ES) of CVA; 2.8 The Dilemma of Regulators and Basel III; 3 Modelling the Counterparty Default; 3.1 Firm Value (or Structural) Models; 3.1.1 The Geometric Brownian Assumption; 3.1.2 Merton's Model; 3.1.3 Black and Cox's (1976) Model 3.1.4 Credit Default Swaps and Default Probabilities3.1.5 Black and Cox (B & C) Model Calibration to CDS: Problems; 3.1.6 The AT1P Model; 3.1.7 A Case Study with AT1P: Lehman Brothers Default History; 3.1.8 Comments; 3.1.9 SBTV Model; 3.1.10 A Case Study with SBTV: Lehman Brothers Default History; 3.1.11 Comments; 3.2 Firm Value Models: Hints at the Multiname Picture; 3.3 Reduced Form (Intensity) Models; 3.3.1 CDS Calibration and Intensity Models; 3.3.2 A Simpler Formula for Calibrating Intensity to a Single CDS; 3.3.3 Stochastic Intensity: The CIR Family 3.3.4 The Cox-Ingersoll-Ross Model (CIR) Short-Rate Model for r3.3.5 Time-Inhomogeneous Case: CIR++ Model; 3.3.6 Stochastic Diffusion Intensity is Not Enough: Adding Jumps. The JCIR(++) Model; 3.3.7 The Jump-Diffusion CIR Model (JCIR); 3.3.8 Market Incompleteness and Default Unpredictability; 3.3.9 Further Models; 3.4 Intensity Models: The Multiname Picture; 3.4.1 Choice of Variables for the Dependence Structure; 3.4.2 Firm Value Models?; 3.4.3 Copula Functions; 3.4.4 Copula Calibration, CDOs and Criticism of Copula Functions; PART II PRICING COUNTERPARTY RISK: UNILATERAL CVA Accesible sólo para usuarios de la UPV Recurso a texto completo The book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular 'concrete' financial situations across asset classes, incl Reproducción electrónica Forma de acceso: Web Wiley. Suscripción Finance Mathematical models Credit Mathematical models Credit derivatives Mathematical models Financial risk Mathematical models BUSINESS & ECONOMICS Finance. bisacsh Electronic books Morini, Massimo Pallavicini, Andrea Wiley Online Library (Servicio en línea) Print version Brigo, Damiano, 1966-. Counterparty credit risk, collateral and funding. -- Chichester, West Sussex : John Wiley & Sons Inc., 2013 9780470748466. (DLC) 2012051762 Wiley finance series