Modelling, Pricing, and Hedging Counterparty Credit Exposure - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Modelling, Pricing, and Hedging Counterparty Credit Exposure write by Giovanni Cesari. This book was released on 2009-12-06. Modelling, Pricing, and Hedging Counterparty Credit Exposure available in PDF, EPUB and Kindle. It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.
Modelling, Pricing, and Hedging Counterparty Credit Exposure
Modelling, Pricing, and Hedging Counterparty Credit Exposure - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Modelling, Pricing, and Hedging Counterparty Credit Exposure write by John Aquilina. This book was released on 2010-04-17. Modelling, Pricing, and Hedging Counterparty Credit Exposure available in PDF, EPUB and Kindle.
Credit Risk: Modeling, Valuation and Hedging
Credit Risk: Modeling, Valuation and Hedging - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Credit Risk: Modeling, Valuation and Hedging write by Tomasz R. Bielecki. This book was released on 2004-01-22. Credit Risk: Modeling, Valuation and Hedging available in PDF, EPUB and Kindle. The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
Counterparty Credit Risk, Collateral and Funding
Counterparty Credit Risk, Collateral and Funding - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Counterparty Credit Risk, Collateral and Funding write by Damiano Brigo. This book was released on 2013-03-05. Counterparty Credit Risk, Collateral and Funding available in PDF, EPUB and Kindle. 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, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.
Counterparty Credit Risk
Counterparty Credit Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Counterparty Credit Risk write by Eduardo Canabarro. This book was released on 2009. Counterparty Credit Risk available in PDF, EPUB and Kindle. This book is a collection of cutting-edge reflections and ideas on methods and practices used to measure, price and manage OTC derivative counterparty risk.
