Modelling, pricing, and hedging counterparty credit exposure: a technical guide
Saved in:
| Main Authors: | , , , , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin ; Heidelberg
Springer
2009
|
| Series: | Springer Finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xx, 254 Seiten Illustrationen, Diagramme 235 mm x 155 mm |
| ISBN: | 9783642044533 9783642044540 |
Staff View
MARC
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| 245 | 1 | 0 | |a Modelling, pricing, and hedging counterparty credit exposure |b a technical guide |c Giovanni Cesari ; John Aquilina ; Niels Charpillon ; Zlatko Filipović ; Gordon Lee ; Ion Manda |
| 264 | 1 | |a Berlin ; Heidelberg |b Springer |c 2009 | |
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| 650 | 4 | |a Hedging (Finance) | |
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Record in the Search Index
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| adam_text | CONTENTS PART I METHODOLOGY 1 INTRODUCTION 3 1.1 BASIC CONCEPTS . 3 1.2
PRELIMINARY EXAMPLES 4 1.2.1 VANILLA INTEREST-RATE SWAP 4 1.2.2
CANCELLABLE SWAP . . 5 1.2.3 MANAGING CREDIT RISK*COLLATERAL, CREDIT
DEFAULT SWAP . . 8 1.3 WHY COMPUTE COUNTERPARTY CREDIT EXPOSURE? 10 1.4
MODELLING COUNTERPARTY CREDIT EXPOSURE 10 1.4.1 DEFINITION . . 10 1.4.2
RISK MEASURES 12 1.4.3 NETTING AND AGGREGATION 12 1.4.4 CLOSE-OUTRISK 13
1.4.5 RIGHT-WAY/WRONG-WAY EXPOSURE 14 1.4.6 CREDIT VALUATION ADJUSTMENT:
CVA 14 1.4.7 A SIMPLE CREDIT QUANTIFICATION EXAMPLE 15 1.4.8 COMPUTING
CREDIT EXPOSURE BY SIMULATION 17 1.4.9 IMPLEMENTATION CHALLENGES 18
1.4.10 AN ALTERNATIVE APPROACH: THE AMC ALGORITHM 19 1.5 WHICH
ARCHITECTURE? 20 1.6 WHATNEXT? 21 2 MODELLING FRAMEWORK 23 2.1
COUNTERPARTY CREDIT EXPOSURE DEFINITION 23 2.2 PROCESS DYNAMICS 26 2.3
INTEREST RATE: SINGLE CURRENCY 27 2.3.1 SIMPLE SPECIFICATIONS 29 2.3.2
HJM FRAMEWORK 31 2.3.3 LIBOR MARKET MODELS 32 2.4 MULTIPLE CURRENCIES
AND FOREIGN EXCHANGE 33 2.5 INFLATION ... 37 XV BIBLIOGRAFISCHE
INFORMATIONEN HTTP://D-NB.INFO/996662502 DIGITALISIERT DURCH XVI
CONTENTS 2.6 EQUITY 37 2.7 CREDIT 38 2.7.1 DEFAULT PROBABILITIES FROM
PAR CDS SPREADS 39 2.7.2 STOCHASTIC DEFAULT PROBABILITIES 41 2.7.3 LOSS
SIMULATION 42 3 SIMULATION MODELS 45 3.1 INTEREST-RATE MODELS 45 3.1.1
SEPARABLE VOLATILITY 46 3.1.2 EXAMPLE: HULL-WHITE (EXTENDED VASICEK) 50
3.2 EQUITY AND FX MODELS 52 3.2.1 BLACKMODEL 53 3.2.2 LOCAL VOLATILITY
54 3.2.3 STOCHASTIC VOLATILITY 58 3.2.4 JUMP MODELS 60 3.2.5 EXTENSION
TO STOCHASTIC INTEREST RATES 60 3.2.6 A SIMPLER APPROACH: INDEPENDENT
INTEREST RATES 63 3.2.7 DIFFERENT MODELS FOR DIFFERENT MARKETS 63 3.3
CREDITMODELS 65 3.3.1 SIMULATION OF SINGLE-NAME DEFAULT PROBABILITIES
AND DEFAULT TIMES 66 3.3.2 INTER-NAME DEFAULT DEPENDENCE 69 3.3.3
TECHNICAL NOTE: RECURSION 72 3.3.4 PROPERTIES OF THE LOSS DISTRIBUTION:
LARGE HOMOGENEOUS PORTFOLIO 73 3.3.5 CALIBRATION OF CORRELATION 75 3.4
CHOICE OF MODEL 75 4 VALUATION AND SENSITIVITIES 79 4.1 AMERICAN MONTE
CARLO: MATHEMATICAL NOTATION AND DESCRIPTION .. 80 4.1.1 MATHEMATICAL
FORMULATION 80 4.1.2 PRACTICAL EXAMPLES 83 4.1.3 BACKWARD INDUCTION
ALGORITHM 85 4.2 AMC ESTIMATION ALGORITHMS 88 4.2.1 TILLEY S ALGORITHM
88 4.2.2 LONGSTAFF-SCHWARTZ REGRESSION 89 4.2.3 BIASES OF ESTIMATES 90
4.2.4 AN AMC ALGORITHM TO COMPUTE CREDIT EXPOSURE 91 4. CONTENTS XVUE
PART * ARCHITECTURE AND IMPLEMENTATION 5 COMPUTATIONAL FRAMEWORK 101 5.1
AMC IMPLEMENTATION AND TRADE REPRESENTATION . . . . . . . . . . 101
5.1.1 EXAMPLES 102 5.1.2 EXPRESSION TREES . . 103 5.2 A PORTFOLIO
AGGREGATION LANGUAGE . . . 103 5.2.1 PAL EXAMPLES 105 5.3 THE CONCEPT OF
SCENARIOS 108 5.4 THE CONCEPT OF SUPER-PRODUCT 108 5.4.1 AN EXAMPLE OF
SUPER-PRODUCTS: THE C-CDS . . 109 6 IMPLEMENTATION ILL 6.1 SPOT AND
FORWARD STATISTICS ILL 6.1.1 LIBOR RATES AND BOND PRICES 112 6.1.2
ANNUITY 113 6.1.3 SWAP RATE 113 6.2 PATH DEPENDENT STATISTICS 114 6.2.1
EXTREMUM 114 6.2.2 AVERAGE 115 6.2.3 IN RANGE FRACTION 116 6.2.4
CREDITLOSS 116 6.3 MONTE CARLO STEPPING 117 6.4 TECHNICAL NOTES 120
6.4.1 SDE INTEGRATION SCHEMES 120 6.4.2 MILSTEIN 2 SCHEME 121 6.4.3
MARTINGALE INTERPOLATION 122 6.4.4 DISTRIBUTION OF MAXIMA AND MINIMA 123
6.5 ERROR ANALYSIS 125 6.5.1 CHOICE OF MODEL: SCENARIO AND EXPOSURE
ANALYSIS 125 6.5.2 AMC ERROR 129 6.5.3 NUMERICAL ERRORS 130 6.5.4
APPROXIMATIONS: ARBITRAGE CONDITIONS 131 7 ARCHITECTURE 135 7.1
REQUIREMENTS 136 7.1.1 FUNCTIONAL, NON-FUNCTIONAL REQUIREMENTS, AND
DESIGN PRINCIPLE CONTENTS PART HI PRODUCTS 8 INTEREST-RATE PRODUCTS 149
8.1 INTEREST-RATE SWAPS 149 8.1.1 SWAPS IN ADVANCE AND IN ARREARS 150
8.1.2 CAPPED AND FLOORED SWAPS . . 152 8.1.3 CANCELLABLE SWAPS 152 8.1.4
CROSS-CURRENCY SWAPS 153 8.2 CONSTANT-MATURITY SWAPS AND STEEPENERS .
154 8.3 RANGE ACCRUALS 155 8.4 INTEREST-RATE OPTIONS 156 9 EQUITY,
COMMODITY, INFLATION AND FX PRODUCTS 159 9.1 FORWARDS AND OPTIONS . 159
9.1.1 FORWARDS CONTRACTS 160 9.1.2 VANILLA AND DIGITAL OPTIONS 162 9.1.3
BERMUDAN AND AMERICAN OPTIONS 162 9.1.4 ASIAN OPTIONS 164 9.1.5 BARRIER
OPTIONS 164 9.2 ASSET SWAPS . 166 9.2.1 ABSOLUTE RETURN SWAPS 166 9.2.2
RELATIVE RETURN SWAPS 167 9.2.3 CLIQUETS 168 9.2.4 TARGET REDEMPTION
SWAPS 169 10 CREDIT DERIVATIVES 171 10.1 CREDIT DEFAULT SWAPS 171 10.2
COLLATERAL DEBT OBLIGATIONS 172 11 STRUCTURES .175 11.1 SINKING FUNDS
175 11.2 ACCELERATED SHARE RE-PURCHASE 176 11.3 CALLABLE DAILY ACCRUAL
NOTES 178 11.4 CALL SPREAD OVERLAYS 179 PART IV HEDGING AND MANAGING
COUNTERPARTY RISK 12 COUNTERPARTY RISK AGGREGATION AND RISK MITIGATION
183 12.1 RISK MEASURES 184 12.2 CHOICE OF MEASURE 186 12.3 PORTFOLIO
RISK AGGREGATION 187 12.3. CONTENTS XIX 12.4.2 EXAMPLES 192 12.5
CLOSE-OUT RISK. . 194 12.6 RISK ALLOCATION 195 12.6.1 NAIVE ALLOCATION
196 12.6.2 EULER ALLOCATION 196 12.6.3 COMPARISON WITH NAIVE ALLOCATION
. 197 12.6.4 CONTRIBUTION CALCULATION OF COLLATERALISED TRANSACTIONS . .
199 13 COMBINING MARKET AND CREDIT RISK 201 13.1 CHANGE OF MEASURE:
PRACTICAL IMPLEMENTATION 202 13.2 EXPOSURE UNDER REAL-WORLD MEASURE 203
13.3 STRESS TESTING 204 13.4 RIGHT-WAY /WRONG- WAY EXPOSURE 205 13.4.1
RIGHT-WAY/WRONG-WAY EXPOSURE: MERTON APPROACH . . . 206 13.4.2 THE
INVERSE PROBLEM 209 13.4.3 EXAMPLE 1: CALL OPTION ON STOCK 210 13.4.4
EXAMPLE 2: CALL PUT STRUCTURE ON OIL 212 13.4.5 EXAMPLE 3:
CROSS-CURRENCY SWAP ON USD-GBP 212 13.4.6 COMPARISON WITH THE CHANGE OF
MEASURE APPROACH . . . . 212 14 PRICING COUNTERPARTY CREDIT RISK 215
14.1 CREDIT VALUATION ADJUSTMENT AND STATIC HEDGING 216 14.2 CONTINGENT
CREDIT DEFAULT SWAP 217 14.2.1 AMERICAN MONTE CARLO VALUATION 218 14.2.2
EXAMPLE 218 14.3 DYNAMIC HEDGING OF COUNTERPARTY RISK 219 14.4 OPTIMAL
STATIC HEDGING 220 14.5 CVA SENSITIVITIES 221 14.6 COLLATERAL AGREEMENTS
223 14.7 RIGHT-WAY/WRONG-WAY RISK 224 14.8 EXAMPLES 224 14.8.1 *-CDS ON
A VANILLA INTEREST-RATE SWAP 224 14.8.2 IMPACT OF DISCRETIZATION
SCHEDULE 225 14.8. XX CONTENTS * RESULTS FROM STOCHASTIC CALCULUS AND
FINANCE . . 239 B.I BROWNIAN MOTION AND MARTINGALES 239 B.2 REPLICATION
OF CONTINGENT CLAIMS: MARTINGALE REPRESENTATION . . . 241 B.3 CHANGE OF
NUMERAIRE 243 REFERENCES 245 INDEX 249
|
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| id | DE-604.BV035985287 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:09:00Z |
| institution | BVB |
| isbn | 9783642044533 9783642044540 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018878111 |
| oclc_num | 436030912 |
| open_access_boolean | |
| owner | DE-945 DE-11 DE-188 DE-523 DE-83 |
| owner_facet | DE-945 DE-11 DE-188 DE-523 DE-83 |
| physical | xx, 254 Seiten Illustrationen, Diagramme 235 mm x 155 mm |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer Finance |
| spelling | Cesari, Giovanni (DE-588)1275340369 aut Modelling, pricing, and hedging counterparty credit exposure a technical guide Giovanni Cesari ; John Aquilina ; Niels Charpillon ; Zlatko Filipović ; Gordon Lee ; Ion Manda Berlin ; Heidelberg Springer 2009 xx, 254 Seiten Illustrationen, Diagramme 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Springer Finance Mathematisches Modell Credit Hedging (Finance) Investments Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Derivat Wertpapier (DE-588)4381572-8 s Hedging (DE-588)4123357-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Aquilina, John (DE-588)1275340520 aut Charpillon, Niels (DE-588)1275340733 aut Filipović, Zlatko (DE-588)1275342175 aut Lee, Gordon (DE-588)1275342264 aut Manda, Ion (DE-588)127534240X aut Erscheint auch als Online-Ausgabe 978-3-642-04454-0 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018878111&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cesari, Giovanni Aquilina, John Charpillon, Niels Filipović, Zlatko Lee, Gordon Manda, Ion Modelling, pricing, and hedging counterparty credit exposure a technical guide Mathematisches Modell Credit Hedging (Finance) Investments Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Hedging (DE-588)4123357-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4114309-7 (DE-588)4123357-8 (DE-588)4121590-4 |
| title | Modelling, pricing, and hedging counterparty credit exposure a technical guide |
| title_auth | Modelling, pricing, and hedging counterparty credit exposure a technical guide |
| title_exact_search | Modelling, pricing, and hedging counterparty credit exposure a technical guide |
| title_full | Modelling, pricing, and hedging counterparty credit exposure a technical guide Giovanni Cesari ; John Aquilina ; Niels Charpillon ; Zlatko Filipović ; Gordon Lee ; Ion Manda |
| title_fullStr | Modelling, pricing, and hedging counterparty credit exposure a technical guide Giovanni Cesari ; John Aquilina ; Niels Charpillon ; Zlatko Filipović ; Gordon Lee ; Ion Manda |
| title_full_unstemmed | Modelling, pricing, and hedging counterparty credit exposure a technical guide Giovanni Cesari ; John Aquilina ; Niels Charpillon ; Zlatko Filipović ; Gordon Lee ; Ion Manda |
| title_short | Modelling, pricing, and hedging counterparty credit exposure |
| title_sort | modelling pricing and hedging counterparty credit exposure a technical guide |
| title_sub | a technical guide |
| topic | Mathematisches Modell Credit Hedging (Finance) Investments Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Hedging (DE-588)4123357-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Mathematisches Modell Credit Hedging (Finance) Investments Mathematical models Derivat Wertpapier Kreditrisiko Hedging Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018878111&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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