Counterparty credit risk: measurement, pricing and hedging
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
[2009]
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references and index Pt. I. Counterparty risk measurement and management -- 1. Systemic counterparty credit risk -- 2. Collateralised credit exposure -- 3. Efficient calculation of counterparty exposure conditional on default -- 4. Effective, enterprise-wide collateral management -- 5. Evolution of the US legal framework for counterparty risk mitigation -- Pt. II. Counterparty risk pricing and hedging -- 6. Pricing and hedging counterparty risk: lessons re-learned? -- 7. The counterparty risk of credit derivative products -- 8. Contingent credit default swaps -- 9. Funding benefit and funding cost -- 10. Generalized valuation of collateralised derivatives -- Pt. III. Stress testing -- 11. Stress testing and scenario analysis: some second generation approaches -- 12. Computing and stress testing counterparty credit risk capital -- Pt. IV. Economic and regulatory capital -- 13. Back(testing) to the future: from market risk to counterparty credit risk models -- 14. Economic capital for counterparty credit risk from two perspectives "This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks."--Publisher's website |
| Beschreibung: | 1 Online-Ressource (xxii, 356 pages) |
| ISBN: | 9781908823441 1908823445 9781906348342 1906348340 |
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| dewey-sort | 3332.6457 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042961662 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:50Z |
| institution | BVB |
| isbn | 9781908823441 1908823445 9781906348342 1906348340 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028387529 |
| oclc_num | 864675765 |
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| physical | 1 Online-Ressource (xxii, 356 pages) |
| psigel | ZDB-4-EBU FLA_PDA_EBU |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Risk Books |
| record_format | marc |
| spelling | Counterparty credit risk measurement, pricing and hedging edited by Eduardo Canabarro London Risk Books [2009] 1 Online-Ressource (xxii, 356 pages) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references and index Pt. I. Counterparty risk measurement and management -- 1. Systemic counterparty credit risk -- 2. Collateralised credit exposure -- 3. Efficient calculation of counterparty exposure conditional on default -- 4. Effective, enterprise-wide collateral management -- 5. Evolution of the US legal framework for counterparty risk mitigation -- Pt. II. Counterparty risk pricing and hedging -- 6. Pricing and hedging counterparty risk: lessons re-learned? -- 7. The counterparty risk of credit derivative products -- 8. Contingent credit default swaps -- 9. Funding benefit and funding cost -- 10. Generalized valuation of collateralised derivatives -- Pt. III. Stress testing -- 11. Stress testing and scenario analysis: some second generation approaches -- 12. Computing and stress testing counterparty credit risk capital -- Pt. IV. Economic and regulatory capital -- 13. Back(testing) to the future: from market risk to counterparty credit risk models -- 14. Economic capital for counterparty credit risk from two perspectives "This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks."--Publisher's website BUSINESS & ECONOMICS / Finance bisacsh Derivative securities fast Financial risk management fast Over-the-counter markets fast Wirtschaft Financial risk management Derivative securities Over-the-counter markets Canabarro, Eduardo Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=668321 Aggregator Volltext |
| spellingShingle | Counterparty credit risk measurement, pricing and hedging BUSINESS & ECONOMICS / Finance bisacsh Derivative securities fast Financial risk management fast Over-the-counter markets fast Wirtschaft Financial risk management Derivative securities Over-the-counter markets |
| title | Counterparty credit risk measurement, pricing and hedging |
| title_auth | Counterparty credit risk measurement, pricing and hedging |
| title_exact_search | Counterparty credit risk measurement, pricing and hedging |
| title_full | Counterparty credit risk measurement, pricing and hedging edited by Eduardo Canabarro |
| title_fullStr | Counterparty credit risk measurement, pricing and hedging edited by Eduardo Canabarro |
| title_full_unstemmed | Counterparty credit risk measurement, pricing and hedging edited by Eduardo Canabarro |
| title_short | Counterparty credit risk |
| title_sort | counterparty credit risk measurement pricing and hedging |
| title_sub | measurement, pricing and hedging |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Derivative securities fast Financial risk management fast Over-the-counter markets fast Wirtschaft Financial risk management Derivative securities Over-the-counter markets |
| topic_facet | BUSINESS & ECONOMICS / Finance Derivative securities Financial risk management Over-the-counter markets Wirtschaft |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=668321 |
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