£125.00

Risk Books Counterparty Credit Risk

Name: Counterparty Credit Risk
Brand: Risk Books
Price: 125.0 GBP
Availability: InStock

Investments & Securities

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Description

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. The book consists of 14 chapters broken down into four broad areas: · Chapters 1 to 5 cover topics related to counterparty risk measurement and management. It focuses on two very current subjects: systemic counterparty risk and collateralization. · Chapters 6 to 10 cover topics related to the pricing and hedging of counterparty risks and of collateral arrangements. CVAs have caused massive losses to banks during the recent crisis and have motivated some of the recent the Basel Committee's proposals for reforms of the regulatory capital on counterparty risks. The implications of collateral to OTC derivative valuation, funding costs and availability of funding are important current issues that are covered. · Chapters 11 and 12 cover stress testing of counterparty risks. The recent experience made clear that stress tests frameworks need to be expanded and enhanced and some new and promising ideas are described. · Chapters 13 and 14 cover back-testing of counterparty exposure models and the incorporation of counterparty risks into economic and regulatory capital frameworks.

Product Specifications

Brand: Risk Books
Format: paperback
ASIN: 1906348340
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Investments & Securities
Domain: Amazon UK
Release Date: 22 March 2010
Listed Since: 18 February 2010

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Risk Books Counterparty Credit Risk

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