Counterparty Credit Risk, Collateral and Funding
With Pricing Cases For All Asset Classes
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Beschreibung
The book's content is focused on rigorous and advancedquantitative methods for the pricing and hedging of counterpartycredit and funding risk. The new general theory that is requiredfor this methodology is developed from scratch, leading to aconsistent and comprehensive framework for counterparty credit andfunding risk, inclusive of collateral, netting rules, possibledebit valuation adjustments, re-hypothecation and closeout rules.The book however also looks at quite practical problems, linkingparticular models to particular 'concrete' financialsituations across asset classes, including interest rates, FX,commodities, equity, credit itself, and the emerging asset class oflongevity.
The authors also aim to help quantitative analysts, traders, andanyone else needing to frame and price counterparty creditand funding risk, to develop a 'feel' for applyingsophisticated mathematics and stochastic calculus to solvepractical problems.
The main models are illustrated from theoretical formulation tofinal implementation with calibration to market data, alwayskeeping in mind the concrete questions being dealt with. Theauthors stress that each model is suited to different situationsand products, pointing out that there does not exist a single modelwhich is uniformly better than all the others, although theproblems originated by counterparty credit and funding risk pointin the direction of global valuation.
Finally, proposals for restructuring counterparty credit risk,ranging from contingent credit default swaps to margin lending, areconsidered.
Autor*in
Damiano Brigo
Themen in »Counterparty Credit Risk, Collateral and Funding«
Finance & Investments Financial Engineering Finanz- u. Anlagewesen Finanztechnik