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Counterparty credit risk, collateral and funding : with pricing cases for all asset classes /
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 counte...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex :
John Wiley & Sons Inc.,
2013.
|
| Colección: | Wiley finance series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 082 | 0 | 0 | |a 332.701/5195 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Brigo, Damiano, |d 1966- | |
| 245 | 1 | 0 | |a Counterparty credit risk, collateral and funding : |b with pricing cases for all asset classes / |c Damiano Brigo, Massimo Morini, Andrea Pallavicini. |
| 264 | 1 | |a Chichester, West Sussex : |b John Wiley & Sons Inc., |c 2013. | |
| 300 | |a 1 online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a [Wiley finance series] | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record and CIP data provided by publisher. | |
| 505 | 0 | |6 880-01 |a 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. | |
| 505 | 8 | |a 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. | |
| 505 | 8 | |a 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. | |
| 505 | 8 | |a 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. | |
| 505 | 8 | |a 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. | |
| 520 | |a 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. | ||
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Credit |x Mathematical models. | |
| 650 | 0 | |a Credit derivatives |x Mathematical models. | |
| 650 | 0 | |a Financial risk |x Mathematical models. | |
| 650 | 4 | |a Finance. | |
| 650 | 4 | |a Business & Economics. | |
| 650 | 4 | |a Finance |x General. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Crédit |x Modèles mathématiques. | |
| 650 | 6 | |a Instruments dérivés de crédit |x Modèles mathématiques. | |
| 650 | 6 | |a Risque financier |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Credit |x Mathematical models |2 fast | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 700 | 1 | |a Morini, Massimo. | |
| 700 | 1 | |a Pallavicini, Andrea. | |
| 776 | 0 | 8 | |i Print version: |a Brigo, Damiano, 1966- |t Counterparty credit risk, collateral and funding. |d Chichester, West Sussex : John Wiley & Sons Inc., 2013 |z 9780470748466 |w (DLC) 2012051762 |
| 830 | 0 | |a Wiley finance series. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1144006 |z Texto completo |
| 880 | 0 | 0 | |6 505-01/(S |g Contents note continued: |g 13.1. |t Trading Under the ISDA Master Agreement -- |g 13.1.1. |t Mathematical Setup and CBVA Definition -- |g 13.1.2. |t Collateral Delay and Dispute Resolutions -- |g 13.1.3. |t Close-Out Netting Rules -- |g 13.1.4. |t Collateral Re-Hypothecation -- |g 13.2. |t Bilateral CVA Formula under Collateralization -- |g 13.2.1. |t Collecting CVA Contributions -- |g 13.2.2. |t CBVA General Formula -- |g 13.2.3. |t CCVA and CDVA Definitions -- |g 13.3. |t Close-Out Amount Evaluation -- |g 13.4. |t Special Cases of Collateral-Inclusive Bilateral Credit Valuation Adjustment -- |g 13.5. |t Example of Collateralization Schemes -- |g 13.5.1. |t Perfect Collateralization -- |g 13.5.2. |t Collateralization Through Margining -- |g 13.6. |t Conclusions -- |g 14. |t Close-Out and Contagion with Examples of a Simple Payoff -- |g 14.1. |t Introduction to Close-Out Modelling and Earlier Work -- |g 14.1.1. |t Close-Out Modelling: Context -- |g 14.1.2. |t Legal Documentation on Close-Out -- |g 14.1.3. |t Literature -- |g 14.1.4. |t Risk-Free versus Replacement Close-Out: Practical Consequences -- |g 14.2. |t Classical Unilateral and Bilateral Valuation Adjustments -- |g 14.3. |t Bilateral Adjustment and Close-Out: Risk-Free or Replacement-- |g 14.4. |t Quantitative Analysis and a Numerical Example -- |g 14.4.1. |t Contagion Issues -- |g 14.5. |t Conclusions -- |g 15. |t Bilateral Collateralized CVA and DVA for Rates and Credit -- |g 15.1. |t CBVA for Interest Rate Swaps -- |g 15.1.1. |t Changing the Margining Frequency -- |g 15.1.2. |t Inspecting the Exposure Profiles -- |g 15.1.3. |t Case Where Re-Hypothecation is Worse than No Collateral at All -- |g 15.1.4. |t Changing the Correlation Parameters -- |g 15.1.5. |t Changing the Credit Spread Volatility -- |g 15.2. |t Modelling Credit Contagion -- |g 15.2.1. |t CDS Price Process -- |g 15.2.2. |t Calculation of Survival Probability -- |g 15.2.3. |t Modelling Default-Time Dependence -- |g 15.3. |t CBVA for Credit Default Swaps -- |g 15.3.1. |t Changing the Copula Parameters -- |g 15.3.2. |t Inspecting the Contagion Risk -- |g 15.3.3. |t Changing the CDS Moneyness -- |g 15.4. |t Conclusions -- |g 16. |t Including Margining Costs in Collateralized Contracts -- |g 16.1. |t Trading Under the ISDA Master Agreement -- |g 16.1.1. |t Collateral Accrual Rates -- |g 16.1.2. |t Collateral Management and Margining Costs -- |g 16.2. |t CBVA General Formula with Margining Costs -- |g 16.2.1. |t Perfect Collateralization -- |g 16.2.2. |t Futures Contracts -- |g 16.3. |t Changing the Collateralization Currency -- |g 16.3.1. |t Margining Cost in Foreign Currency -- |g 16.3.2. |t Settlement Liquidity Risk -- |g 16.3.3. |t Gap Risk in Single-Currency Contracts with Foreign-Currency Collaterals -- |g 16.4. |t Conclusions -- |g 17. |t Funding Valuation Adjustment (FVA)-- |g 17.1. |t Dealing with Costs of Funding -- |g 17.1.1. |t Central Clearing, CCPs and this Book -- |g 17.1.2. |t High Level Features -- |g 17.1.3. |t Single-Deal (Micro) vs. Homogeneous (Macro) Funding Models -- |g 17.1.4. |t Previous Literature on Funding and Collateral -- |g 17.1.5. |t Including FVA along with Credit and Debit Valuation Adjustment -- |g 17.1.6. |t FVA is not DVA -- |g 17.2. |t Collateral- and Funding-Inclusive Bilateral Valuation Adjusted Price -- |g 17.3. |t Funding Risk and Liquidity Policies -- |g 17.3.1. |t Funding, Hedging and Collateralization -- |g 17.3.2. |t Liquidity Policies -- |g 17.4. |t CBVA Pricing Equation with Funding Costs (CFBVA) -- |g 17.4.1. |t Iterative Solution of the CFBVA Pricing Equation -- |g 17.4.2. |t Funding Derivative Contracts in a Diffusion Setting -- |g 17.4.3. |t Implementing Hedging Strategies via Derivative Markets -- |g 17.5. |t Detailed Examples -- |g 17.5.1. |t Funding with Collateral -- |g 17.5.2. |t Collateralized Contracts Priced by a CCP -- |g 17.5.3. |t Dealing with Own Credit Risk: FVA and DVA -- |g 17.5.4. |t Deriving Earlier Results on FVA and DVA -- |g 17.6. |t Conclusions: FVA and Beyond -- |g 18. |t Non-Standard Asset Classes: Longevity Risk -- |g 18.1. |t Introduction to Longevity Markets -- |g 18.1.1. |t Longevity Swap Market -- |g 18.1.2. |t Longevity Swaps: Collateral and Credit Risk -- |g 18.1.3. |t Indexed Longevity Swaps -- |g 18.1.4. |t Endogenous Credit Collateral and Funding-Inclusive Swap Rates -- |g 18.2. |t Longevity Swaps: The Payoff Π -- |g 18.3. |t Mark-to-Market for Longevity Swaps -- |g 18.4. |t Counterparty and Own Default Risk, Collateral and Funding -- |g 18.5. |t Example of Modelling Specification from Biffis et al. (2011) -- |g 18.6. |t Discussion of the Results in Biffis et al. (2011) -- |g 19. |t Conclusions and Further Work -- |g 19.1. |t Final Dialogue: Models, Regulations, CVA/DVA, Funding and More. |
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