The Resource Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini

Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini

Label
Counterparty credit risk, collateral and funding : with pricing cases for all asset classes
Title
Counterparty credit risk, collateral and funding
Title remainder
with pricing cases for all asset classes
Statement of responsibility
Damiano Brigo, Massimo Morini, Andrea Pallavicini
Creator
Contributor
Provider
Subject
Language
eng
Summary
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
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1966-
http://library.link/vocab/creatorName
Brigo, Damiano
Illustrations
  • illustrations
  • charts
Index
index present
LC call number
HG106
Literary form
non fiction
Nature of contents
  • standards specifications
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • ebrary
  • Morini, Massimo
  • Pallavicini, Andrea
Series statement
Wiley Finance
http://library.link/vocab/subjectName
  • Finance
  • Credit
  • Credit derivatives
  • Financial risk
  • BUSINESS & ECONOMICS
Label
Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type MARC source
rdacontent
Contents
  • 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
Dimensions
unknown
Extent
1 online resource.
Form of item
  • online
  • electronic
Isbn
9780470662496
Lccn
2013001506
Media category
computer
Media MARC source
rdamedia
Specific material designation
remote
Stock number
462839
System control number
  • (OCoLC)824120034
  • (OCoLC)ocn824120034
Label
Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type MARC source
rdacontent
Contents
  • 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
Dimensions
unknown
Extent
1 online resource.
Form of item
  • online
  • electronic
Isbn
9780470662496
Lccn
2013001506
Media category
computer
Media MARC source
rdamedia
Specific material designation
remote
Stock number
462839
System control number
  • (OCoLC)824120034
  • (OCoLC)ocn824120034

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