Counterparty Risk and Funding: A Tale of Two Puzzles (Chapman and Hall/CRC Financial Mathematics Series) - Image 1

£44.15

CRC Press Counterparty Risk and Funding: A Tale of Two Puzzles (Chapman and Hall/CRC Financial Mathematics Series)

Name: https://www.amazon.co.uk/dp/B07VW1Q5SS?tag=tosheroon-21
Brand: CRC Press
Price: 44.15 GBP
Availability: InStock

Econometrics

Price History & Forecast

Last 12 days • 12 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 12 days • 1 price levels

Days at Price

Price Analysis

Most common price: £44 (12 days, 100.0%)

Price range: £44 - £44

Price levels: 1 different prices over 12 days

Description

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.

Product Specifications

Brand: CRC Press
Format: paperback
ASIN: 0367740060
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 18 December 2020
Listed Since: 14 October 2020

Barcode

No barcode data available

CRC Press Counterparty Risk and Funding: A Tale of Two Puzzles (Chapman and Hall/CRC Financial Mathematics Series)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series)

Derivative Pricing and Credit Exposures Modelling: Python Prototype of XVA for Practitioners (2.0)

The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin, 4th Edition

Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Counterparty Credit Risk

Counterparty Risk Management - Measurement, Pricing and Regulation

Credit Correlation: Theory and Practice (Applied Quantitative Finance)

Pension Fund Risk Management: Financial and Actuarial Modeling (Chapman & Hall/CRC Finance Series)

Credit Derivatives: Trading, Investing, and Risk Management (The Wiley Finance Series)

Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In The Presence Of Counterparty Credit Risk For The Fixed-Income Market

Modern Financial Engineering: Counterparty, Credit, Portfolio and Systemic Risks: 2 (Topics In Systems Engineering)

Margin in Derivatives Trading

Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

Springer Credit Risk Valuation: Methods, Models, and Applications

Pension Fund Risk Management: Financial and Actuarial Modeling (Chapman & Hall/CRC Finance Series)

Advances in Financial Planning and Forecasting: 11

Credit Risk: Modeling, Valuation and Hedging (Springer Finance)

Numerical Methods for Finance (Chapman & Hall/CRC Financial Mathematics)

Derivatives: Theory and Practice of Trading, Valuation, and Risk Management (Springer Texts in Business and Economics)

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Credit-Risk Modelling: Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python

Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

Commercial Banking Risk Management: Regulation in the Wake of the Financial Crisis

Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman and Hall/CRC Financial Mathematics Series)