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...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Somerset
John Wiley & Sons, Incorporated
2013
|
| Ausgabe: | 1st ed |
| Schriftenreihe: | The Wiley Finance Ser
|
| Schlagwörter: | |
| Zusammenfassung: | 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 |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Umfang: | 1 online resource (494 pages) |
| ISBN: | 9780470661789 9780470748466 |
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Datensatz im Suchindex
| _version_ | 1818982760510914560 |
|---|---|
| any_adam_object | |
| author | Brigo, Damiano |
| author_facet | Brigo, Damiano |
| author_role | aut |
| author_sort | Brigo, Damiano |
| author_variant | d b db |
| building | Verbundindex |
| bvnumber | BV044050113 |
| collection | ZDB-30-PAD ZDB-30-PBE |
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| dewey-full | 332.3 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.3 |
| dewey-search | 332.3 |
| dewey-sort | 3332.3 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1st ed |
| format | Electronic eBook |
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| id | DE-604.BV044050113 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:52:20Z |
| institution | BVB |
| isbn | 9780470661789 9780470748466 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029456958 |
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| publisher | John Wiley & Sons, Incorporated |
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| spelling | Brigo, Damiano Verfasser aut Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes 1st ed Somerset John Wiley & Sons, Incorporated 2013 © 2013 1 online resource (494 pages) txt rdacontent c rdamedia cr rdacarrier The Wiley Finance Ser Description based on publisher supplied metadata and other sources 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 Derivative securities Financial risk management Over-the-counter markets Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Management (DE-588)4037278-9 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Vertragspartei (DE-588)4472582-6 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditrisiko (DE-588)4114309-7 s Vertragspartei (DE-588)4472582-6 s Bewertung (DE-588)4006340-9 s Management (DE-588)4037278-9 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Morini, Massimo Sonstige oth Pallavicini, Andrea Sonstige oth Erscheint auch als Druck-Ausgabe Brigo, Damiano Counterparty Credit Risk, Collateral and Funding : With Pricing Cases for All Asset Classes 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Brigo, Damiano Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes Derivative securities Financial risk management Over-the-counter markets Mathematisches Modell (DE-588)4114528-8 gnd Management (DE-588)4037278-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Vertragspartei (DE-588)4472582-6 gnd Bewertung (DE-588)4006340-9 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4037278-9 (DE-588)4114309-7 (DE-588)4472582-6 (DE-588)4006340-9 (DE-588)4143413-4 |
| title | Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes |
| title_auth | Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes |
| title_exact_search | Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes |
| title_full | Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes |
| title_fullStr | Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes |
| title_full_unstemmed | Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes |
| title_short | Counterparty Credit Risk, Collateral and Funding |
| title_sort | counterparty credit risk collateral and funding with pricing cases for all asset classes |
| title_sub | With Pricing Cases for All Asset Classes |
| topic | Derivative securities Financial risk management Over-the-counter markets Mathematisches Modell (DE-588)4114528-8 gnd Management (DE-588)4037278-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Vertragspartei (DE-588)4472582-6 gnd Bewertung (DE-588)4006340-9 gnd |
| topic_facet | Derivative securities Financial risk management Over-the-counter markets Mathematisches Modell Management Kreditrisiko Vertragspartei Bewertung Aufsatzsammlung |
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