عنوان
پدید آورنده
موضوع
رده
HG106
HG106
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
0470662492 (electronic bk.)
(Number (ISBN
111881858X
(Number (ISBN
9780470662496 (electronic bk.)
(Number (ISBN
9781118818589
Erroneous ISBN
0470661674
Erroneous ISBN
047066178X
Erroneous ISBN
047074846X
Erroneous ISBN
1299315895
Erroneous ISBN
9780470661673
Erroneous ISBN
9780470661789
Erroneous ISBN
9780470748466 (cloth)
Erroneous ISBN
9781299315891
NATIONAL BIBLIOGRAPHY NUMBER
Number
dltt
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Counterparty credit risk, collateral and funding :
General Material Designation
[Book]
Other Title Information
with pricing cases for all asset classes /
First Statement of Responsibility
Damiano Brigo, Massimo Morini, Andrea Pallavicini
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource.
SERIES
Series Title
[Wiley finance series]
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index
CONTENTS NOTE
Text of Note
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
Text of Note
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
Text of Note
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
Text of Note
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
Text of Note
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
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SUMMARY OR ABSTRACT
Text of Note
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
OTHER EDITION IN ANOTHER MEDIUM
Title
Counterparty credit risk, collateral and funding
International Standard Book Number
9780470748466
TOPICAL NAME USED AS SUBJECT
Credit derivatives-- Mathematical models.
Credit-- Mathematical models.
Finance-- Mathematical models.
Financial risk-- Mathematical models.
(SUBJECT CATEGORY (Provisional
BUS-- 027000
DEWEY DECIMAL CLASSIFICATION
Number
332
.
701/5195
Edition
23
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG106
PERSONAL NAME - PRIMARY RESPONSIBILITY
Brigo, Damiano,1966-
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Morini, Massimo.
Pallavicini, Andrea.
CORPORATE BODY NAME - ALTERNATIVE RESPONSIBILITY
Ohio Library and Information Network.
Wiley Online Library (Online service)
ORIGINATING SOURCE
Date of Transaction
20131016151315.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
