Download e-book for iPad: Counterparty Credit Risk, Collateral and Funding: With by Damiano Brigo

By Damiano Brigo

ISBN-10: 047074846X

ISBN-13: 9780470748466

The book’s content material is concentrated on rigorous and complicated quantitative equipment for the pricing and hedging of counterparty credits and investment possibility. the hot normal concept that's required for this system is built from scratch, resulting in a constant and complete framework for counterparty credits and investment hazard, which includes collateral, netting principles, attainable debit valuation changes, re-hypothecation and closeout principles. The ebook even though additionally seems to be at rather sensible difficulties, linking specific types to specific ‘concrete’ monetary events throughout asset sessions, together with rates of interest, FX, commodities, fairness, credits itself, and the rising asset classification of longevity.

The authors additionally goal to aid quantitative analysts, investors, and a person else desiring to border and cost  counterparty credits and investment possibility, to improve a ‘feel’ for using refined arithmetic and stochastic calculus to unravel useful problems.

The major types are illustrated from theoretical formula to ultimate implementation with calibration to marketplace facts, continuously conserving in brain the concrete questions being handled. The authors pressure that every version is fitted to assorted events and items, mentioning that there doesn't exist a unmarried version that is uniformly greater than the entire others, even supposing the issues originated by means of counterparty credits and investment possibility element towards worldwide valuation.

Finally, proposals for restructuring counterparty credits probability, starting from contingent credits default swaps to margin lending, are considered.

Show description

Read or Download Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes PDF

Similar finance books

Download PDF by Kenny Golde: Do-It-Yourself Bailout: How I Eliminated $222,000 of Credit

Within the selfmade Bailout, writer Kenny Golde explains how he thoroughly and legally eradicated $222,000 in bank card debt, with out submitting for financial ruin or destroying his credit. Golde presents a step by step instruction manual on all features of the way to begin cost negotiations with banks, tips on how to deal with assortment enterprises, tips to separate your feelings out of your debt, and lots more and plenty, even more.

Download PDF by Ngai Hang Chan(auth.): Time Series: Applications to Finance with R and S-Plus,

A brand new variation of the great, hands-on advisor to monetary time sequence, now that includes S-Plus® and R softwareTime sequence: purposes to Finance with R and S-Plus®, moment variation is designed to give an in-depth advent to the conceptual underpinnings and smooth rules of time sequence research.

Download e-book for kindle: Fixed-Income Portfolio Analytics: A Practical Guide to by David Jamieson Bolder

The booklet deals a close, strong, and constant framework for the joint attention of portfolio publicity, hazard, and function throughout quite a lot of underlying fixed-income tools and hazard components. via huge use of useful examples, the writer additionally highlights the mandatory technical instruments and the typical pitfalls that come up whilst operating during this region.

Extra info for Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes

Example text

I wouldn’t mind living a long time, provided the quality of life is good. It is not a risk for you, it is a risk for your pension provider. If you live longer than expected then the pension fund needs extra funding to keep your pension going. Right [touching the wooden table]. [Laughing] If you find the name disturbing, we may call it mortality risk. Anyway with longevity swaps the problem is also finding the underlying ????-dynamics, both in levels and volatilities, namely levels and volatilities of mortality rates.

Stefan Walter) Q: I am quite confused. Should I compute DVA or not? A: It depends on the purpose you are computing it for. However, the situation is not that clear, there are a number of issues more generally with counterparty risk pricing. Q: You mean objectivity on CVA valuation? A: I mean that there is a lot of model risk and of “payoff risk” if we want to call it that. Q: I understand model risk, since this is highly model dependent, but what do you mean by payoff risk? A: There are a lot of choices to be made when computing CVA, both on the models used, and on the type of CVA to be computed.

What about the underlying contract ???? dynamics, is that clear for all asset classes? For a number of asset classes, traditional derivatives markets provide you with underlying market levels, volatilities and market-market “correlations”. But not always. Can you provide an example where this does not work? 9 EMERGING ASSET CLASSES: LONGEVITY RISK A: Q: A: Q: A: Q: A: Q: A: Q: A: Let me think . . yes, that could be a good example, Longevity Risk. I was never sure how to pronounce that in English.

Download PDF sample

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes by Damiano Brigo


by Brian
4.5

Rated 4.00 of 5 – based on 24 votes