Counterparty credit risk modelling: risk management, pricing and regulation
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2005
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XX, 399 S. graph. Darst. |
| ISBN: | 190433976X |
Internformat
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| 245 | 1 | 0 | |a Counterparty credit risk modelling |b risk management, pricing and regulation |c ed. by Michael Pykhtin |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
List of Contributors
vii
Introduction
xiii
Michael Pykhtin
Bank of America
SECTION
1:
RISK MANAGEMENT AT COUNTERPARTY LEVEL
1
Modelling Stochastic Counterparty Credit Exposures for
Derivatives Portfolios
3
Ben De Prisco;
Dan Rosen
Algorithmes
Inc;
Fields Institute, University of Toronto
2
Measuring Counterparty Credit Exposure to a
Margined Counterparty
49
Michael S. Gibson
Federal Reserve Board
3
Modelling Collateral for Credit Exposures:
A Structural Approach
65
Didier
Cassili,
Tomas
Hricko
IMD
4
A Conditional Valuation Approach for Path-Dependent
Instruments
97
Dante Lomibao, Steven
Zini
Bank of America
5
Modelling Counterparty Credit Exposure for Credit
Default Swaps
127
Christian T. Hillc, John Ring, Hideki Sliimamoto
Nomura International
SECTION
2:
RISK MANAGEMENT AT PORTFOLIO LEVEL
6
Calculating and Hedging Exposure, Credit Value
Adjustment and Economic Capital for Counterparty
Credit Risk
147
Evan Picoult
Risk Architecture, Citigroup
COUNTERPARTY CREDIT RISK MODELLING
_________________________________________________________
7
Analytic Methods for Portfolio Counterparty Credit Risk
189
Tom Wilde
Credit
Suisse
First Boston
SECTION
3:
REGULATORY CAPITAL
8
Analysis of Basel II Treatment of Counterparty Credit Risk
229
Marcus Fleck, Andreas Schmidt
Dresdner
Bank
AG
9
Risk-Sensitive Regulatory Capital Rules for Hedged Credit
Exposures
263
Erik Hettfield; Steven Burton; Souphala Chomsisengphet
Federal Reserve Board; Federal Deposit Insurance Corporation;
Office of the Comptroller of the Currency
SECTION
4:
PRICING
10
Risk-Neutral Pricing of Counterparty Risk
285
Damiano
Brigo,
Massimo
Musetti
Banca IMI
11
The Pricing
Implications of Counterparty Risk for
Non-Linear Credit Products
337
Stuart M.
Turnbull
University of Houston
12
Pricing Counterparty Risk in Unfunded Synthetic
CDO Tranches
371
Dmitry Pugachevsky
Bear Sterns
Index
395
To enhance your understanding of the risk management, pricing and regulation of
counterparty credit risk, this new title offers the most detailed and comprehensive
coverage available. Michael Pykhtin, a globally respected expert in credit risk, has
combed the industry s most important organisations to assemble a winning team of
specialist contributors
-
presenting you with an insider s view of all the main elements
of counterparty credit risk and how it will develop in the future.
With the OTC derivatives market rapidly expanding, the measurement and
management of counterparty risk is as vital to the market players as ever. This new
book brings you up-to-date with the very latest developments and innovations in
modelling counterparty risk including:
•
modelling collateral agreements
•
the development of conditional pricing methodology
•
modelling exposures for credit sensitive instruments
•
the development of analytical methods for portfolio credit risk
Counterparty Credit Risk Modelling also offers a detailed and topical analysis of the
Basel Committee s new regulatory capital rules for counterparty credit risk and the
underlying models.
|
| adam_txt |
Contents
List of Contributors
vii
Introduction
xiii
Michael Pykhtin
Bank of America
SECTION
1:
RISK MANAGEMENT AT COUNTERPARTY LEVEL
1
Modelling Stochastic Counterparty Credit Exposures for
Derivatives Portfolios
3
Ben De Prisco;
Dan Rosen
Algorithmes
Inc;
Fields Institute, University of Toronto
2
Measuring Counterparty Credit Exposure to a
Margined Counterparty
49
Michael S. Gibson
Federal Reserve Board
3
Modelling Collateral for Credit Exposures:
A Structural Approach
65
Didier
Cassili,
Tomas
Hricko
IMD
4
A Conditional Valuation Approach for Path-Dependent
Instruments
97
Dante Lomibao, Steven
Zini
Bank of America
5
Modelling Counterparty Credit Exposure for Credit
Default Swaps
127
Christian T. Hillc, John Ring, Hideki Sliimamoto
Nomura International
SECTION
2:
RISK MANAGEMENT AT PORTFOLIO LEVEL
6
Calculating and Hedging Exposure, Credit Value
Adjustment and Economic Capital for Counterparty
Credit Risk
147
Evan Picoult
Risk Architecture, Citigroup
COUNTERPARTY CREDIT RISK MODELLING
_
7
Analytic Methods for Portfolio Counterparty Credit Risk
189
Tom Wilde
Credit
Suisse
First Boston
SECTION
3:
REGULATORY CAPITAL
8
Analysis of Basel II Treatment of Counterparty Credit Risk
229
Marcus Fleck, Andreas Schmidt
Dresdner
Bank
AG
9
Risk-Sensitive Regulatory Capital Rules for Hedged Credit
Exposures
263
Erik Hettfield; Steven Burton; Souphala Chomsisengphet
Federal Reserve Board; Federal Deposit Insurance Corporation;
Office of the Comptroller of the Currency
SECTION
4:
PRICING
10
Risk-Neutral Pricing of Counterparty Risk
285
Damiano
Brigo,
Massimo
Musetti
Banca IMI
11
The Pricing
Implications of Counterparty Risk for
Non-Linear Credit Products
337
Stuart M.
Turnbull
University of Houston
12
Pricing Counterparty Risk in Unfunded Synthetic
CDO Tranches
371
Dmitry Pugachevsky
Bear Sterns
Index
395
To enhance your understanding of the risk management, pricing and regulation of
counterparty credit risk, this new title offers the most detailed and comprehensive
coverage available. Michael Pykhtin, a globally respected expert in credit risk, has
combed the industry's most important organisations to assemble a winning team of
specialist contributors
-
presenting you with an insider's view of all the main elements
of counterparty credit risk and how it will develop in the future.
With the OTC derivatives market rapidly expanding, the measurement and
management of counterparty risk is as vital to the market players as ever. This new
book brings you up-to-date with the very latest developments and innovations in
modelling counterparty risk including:
•
modelling collateral agreements
•
the development of conditional pricing methodology
•
modelling exposures for credit sensitive instruments
•
the development of analytical methods for portfolio credit risk
Counterparty Credit Risk Modelling also offers a detailed and topical analysis of the
Basel Committee's new regulatory capital rules for counterparty credit risk and the
underlying models. |
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| spelling | Counterparty credit risk modelling risk management, pricing and regulation ed. by Michael Pykhtin London Risk Books 2005 XX, 399 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivative securities Prices Financial institutions Management Hedge funds Risk management Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Management (DE-588)4037278-9 gnd rswk-swf Vertragspartei (DE-588)4472582-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Vertragspartei (DE-588)4472582-6 s Kreditrisiko (DE-588)4114309-7 s Management (DE-588)4037278-9 s Bewertung (DE-588)4006340-9 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Pykhtin, Michael Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016072961&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016072961&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Counterparty credit risk modelling risk management, pricing and regulation Derivative securities Prices Financial institutions Management Hedge funds Risk management Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Bewertung (DE-588)4006340-9 gnd Management (DE-588)4037278-9 gnd Vertragspartei (DE-588)4472582-6 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4114528-8 (DE-588)4006340-9 (DE-588)4037278-9 (DE-588)4472582-6 (DE-588)4143413-4 |
| title | Counterparty credit risk modelling risk management, pricing and regulation |
| title_auth | Counterparty credit risk modelling risk management, pricing and regulation |
| title_exact_search | Counterparty credit risk modelling risk management, pricing and regulation |
| title_exact_search_txtP | Counterparty credit risk modelling risk management, pricing and regulation |
| title_full | Counterparty credit risk modelling risk management, pricing and regulation ed. by Michael Pykhtin |
| title_fullStr | Counterparty credit risk modelling risk management, pricing and regulation ed. by Michael Pykhtin |
| title_full_unstemmed | Counterparty credit risk modelling risk management, pricing and regulation ed. by Michael Pykhtin |
| title_short | Counterparty credit risk modelling |
| title_sort | counterparty credit risk modelling risk management pricing and regulation |
| title_sub | risk management, pricing and regulation |
| topic | Derivative securities Prices Financial institutions Management Hedge funds Risk management Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Bewertung (DE-588)4006340-9 gnd Management (DE-588)4037278-9 gnd Vertragspartei (DE-588)4472582-6 gnd |
| topic_facet | Derivative securities Prices Financial institutions Management Hedge funds Risk management Kreditrisiko Mathematisches Modell Bewertung Management Vertragspartei Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016072961&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016072961&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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