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Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition, Gregory

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Автор: Gregory
Название:  Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition   (Грегори: Кредитный риск контрагента и корректировка стоимости кредита)
Издательство: Wiley
Классификация:
Финансы

ISBN: 1118316673
ISBN-13(EAN): 9781118316672
ISBN: 1-118316-7-3
ISBN-13(EAN): 978-1-118316-7-2
Обложка/Формат: Hardcover
Страницы: 224
Дата издания: 13.07.2012
Серия: General Finance & Investments
Язык: ENG
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Англии
Описание: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining) and central counterparties. Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) and funding costs (FVA) are also considered at length. Portfolio management and hedging of CVA are described in full. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and credit derivative products. Regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is discussed. The management of counterparty risk within an institution by a CVA desk is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner, policy maker, academic or student with any responsibility or interest within the area of counterparty credit risk and CVA.
Дополнительное описание:




      Старое издание
Counterparty Credit Risk: The New Challenge for Global Financial Markets

Автор: Gregory Jon
Название: Counterparty Credit Risk: The New Challenge for Global Financial Markets
ISBN: 047068576X ISBN-13(EAN): 9780470685761
Издательство: Wiley
Цена: 6531 р.
Наличие на складе: Поставка под заказ.
Описание: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions.

This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full.

A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.

This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.



Counterparty Credit Risk: The New Challenge for Global Financial Markets

Автор: Gregory Jon
Название: Counterparty Credit Risk: The New Challenge for Global Financial Markets
ISBN: 047068576X ISBN-13(EAN): 9780470685761
Издательство: Wiley
Цена: 6531 р.
Наличие на складе: Поставка под заказ.

Описание: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions.

This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full.

A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.

This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.

The Xva Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital

Автор: Gregory Jon
Название: The Xva Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital
ISBN: 1119109418 ISBN-13(EAN): 9781119109419
Издательство: Wiley
Рейтинг:
Цена: 6270 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The Expert?“Written Practical Guide to the Impact of Counterparty Risk, Funding, Collateral and Capital on OTC Derivatives "The issue of counterparty risk has undergone rapid change since the credit crisis. All end?“users of OTC derivatives are affecte

Counterparty Credit Risk, Collateral and Funding

Автор: Brigo
Название: Counterparty Credit Risk, Collateral and Funding
ISBN: 047074846X ISBN-13(EAN): 9780470748466
Издательство: Wiley
Рейтинг:
Цена: 6793 р.
Наличие на складе: Поставка под заказ.

Описание: The book's content is focused on quantitative methods of tackling valuation problems, supplying sound theoretical frameworks for the pricing and hedging of counterparty risk, linking particular models to particular 'concrete' financial situations. The authors also aim to help quantitative analysts, traders, and anyone else needing to measure counterparty 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. Table of Contents Preface Chapter 1: Definitions and Notation Chapter 2: Counterparty Risk in General Chapter 3: Modeling the underlying: Equity, Rates, Commodities and Credit Chapter 4: Counterparty Risk for Interest Rate Swaps and exotics Chapter 5: Counterparty Risk for FX Chapter 6: Counterparty Risk for Commodities Chapter 7: Counterparty Risk for Credit Chapter 8: Counterparty Risk for Equity Chapter 9. Contingent CDS and other hybrid products Appendix A: Stochastic Calculus Appendix B: Copula Functions


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