Автор: Adams, John, Название: Risk / ISBN: 1857280687 ISBN-13(EAN): 9781857280685 Издательство: Taylor&Francis Рейтинг: Цена: 7042.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This work aims to bring the multifarious field of risk studies sharply into focus in a readable way for a wide readership throughout the social sciences and beyond.
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.
Автор: Brigo Название: Counterparty Credit Risk, Collateral and Funding ISBN: 047074846X ISBN-13(EAN): 9780470748466 Издательство: Wiley Рейтинг: Цена: 10296.00 р. Наличие на складе: Есть у поставщика 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
Автор: Servigny, Arnaud De Название: Measuring and Managing Credit Risk ISBN: 0071417559 ISBN-13(EAN): 9780071417556 Издательство: McGraw-Hill Рейтинг: Цена: 13211.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Helps you understand several aspects of credit risk, and provides you with techniques and models for identifying, measuring, monitoring, and controlling your organization`s credit risk exposure. This book is useful for both academics and risk professionals.
Описание: A thorough compendium of credit risk modelling approaches, including several new techniques that extend the horizons of future research and practice. Models and techniques are illustrated with empirical examples and are accompanied by a careful explanation of model derivation issues. An ideal resource for academics, practitioners and regulators.
Описание: A timely follow-up to the widely successful Managing Credit Risk , which is regarded as essential reading for anyone involved within the field of credit. Everything is expanding enormously, and Managing Credit Risk, Second Edition will provide practitioners with the resources they need to keep up with such changes to the field of credit.
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