(EBOOK PDF) Counterparty Credit Risk Collateral and Funding With Pricing Cases for All Asset Classes 1st Edition by Damiano Brigo, Massimo Morini, Andrea Pallavicini 047074846X 9780470748466 full chapters

Counterparty Credit Risk Collateral and Funding With Pricing Cases for All Asset Classes 1st Edition by Damiano Brigo, Massimo Morini, Andrea Pallavicini – Ebook PDF Instant Download/Delivery: 047074846X, 9780470748466

Full download Counterparty Credit Risk Collateral and Funding With Pricing Cases for All Asset Classes 1st Edition after payment

Product details:

• ISBN 10:047074846X 

• ISBN 13:9780470748466

• Author:Damiano Brigo, Massimo Morini, Andrea Pallavicini

The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity.

The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems.

The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation.

Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

Counterparty Credit Risk Collateral and Funding With Pricing Cases for All Asset Classes 1st  Table of contents:

Part I: Counterparty Credit Risk, Collateral and Funding
Chapter 1: Introduction
1.1 A DIALOGUE ON CVA
1.2 RISK MEASUREMENT: CREDIT VaR
1.3 EXPOSURE, CE, PFE, EPE, EE, EAD
1.4 EXPOSURE AND CREDIT VaR
1.5 INTERLUDE: P AND Q
1.6 BASEL
1.7 CVA AND MODEL DEPENDENCE
1.8 INPUT AND DATA ISSUES ON CVA
1.9 EMERGING ASSET CLASSES: LONGEVITY RISK
1.10 CVA AND WRONG WAY RISK
1.11 BASEL III: VaR OF CVA AND WRONG WAY RISK
1.12 DISCREPANCIES IN CVA VALUATION: MODEL RISK AND PAYOFF RISK
1.13 BILATERAL COUNTERPARTY RISK: CVA AND DVA
1.14 FIRST-TO-DEFAULT IN CVA AND DVA
1.15 DVA MARK-TO-MARKET AND DVA HEDGING
1.16 IMPACT OF CLOSE-OUT IN CVA AND DVA
1.17 CLOSE-OUT CONTAGION
1.18 COLLATERAL MODELLING IN CVA AND DVA
1.19 RE-HYPOTHECATION
1.20 NETTING
1.21 FUNDING
1.22 HEDGING COUNTERPARTY RISK: CCDS
1.23 RESTRUCTURING COUNTERPARTY RISK: CVA-CDOs AND MARGIN LENDING
Chapter 2: Context
2.1 Definition of Default: Six basic cases
2.2 DEFINITION OF EXPOSURES
2.3 DEFINITION OF CREDIT VALUATION ADJUSTMENT (CVA)
2.4 COUNTERPARTY RISK MITIGANTS: NETTING
2.5 COUNTERPARTY RISK MITIGANTS: COLLATERAL
2.6 FUNDING
2.7 VALUE AT RISK (VaR) aND EXPECTED SHORTFALL (ES) OF CVA
2.8 THE DILEMMA OF REGULATORS AND BASEL III
Chapter 3: Modelling the Counterparty Default
3.1 FIRM VALUE (OR STRUCTURAL) MODELS
3.2 FIRM VALUE MODELS: HINTS AT THE MULTINAME PICTURE
3.3 REDUCED FORM (INTENSITY) MODELS
3.4 INTENSITY MODELS: THE MULTINAME PICTURE
Part II: Pricing Counterparty Risk: Unilateral CVA
Chapter 4: Unilateral CVA and Netting for Interest Rate Products
4.1 FIRST STEPS TOWARDS A CVA PRICING FORMULA
4.2 THE PROBABILISTIC FRAMEWORK
4.3 THE GENERAL PRICING FORMULA FOR UNILATERAL COUNTERPARTY RISK
4.4 INTEREST RATE SWAP (IRS) PORTFOLIOS
4.5 NUMERICAL TESTS
4.6 CONCLUSIONS
Chapter 5: Wrong Way Risk (WWR) for Interest Rates
5.1 MODELLING ASSUMPTIONS
5.2 NUMERICAL METHODS
5.3 RESULTS AND DISCUSSION
5.4 CONTINGENT CDS (CCDS)
5.5 RESULTS INTERPRETATION AND CONCLUSIONS
Chapter 6: Unilateral CVA for Commodities with WWR
6.1 OIL SWAPS AND COUNTERPARTY RISK
6.2 MODELLING ASSUMPTIONS
6.3 FORWARD VERSUS FUTURES PRICES
6.4 SWAPS AND COUNTERPARTY RISK
6.5 UCVA FOR COMMODITY SWAPS
6.6 INADEQUACY OF BASEL’S WWR MULTIPLIERS
6.7 CONCLUSIONS
Chapter 7: Unilateral CVA for Credit with WWR
7.1 INTRODUCTION TO CDSs WITH COUNTERPARTY RISK
7.2 MODELLING ASSUMPTIONS
7.3 CDS OPTIONS EMBEDDED IN CVA PRICING
7.4 UCVA FOR CREDIT DEFAULT SWAPS: A CASE STUDY
7.5 CONCLUSIONS
Chapter 8: Unilateral CVA for Equity with WWR
8.1 COUNTERPARTY RISK FOR EQUITY WITHOUT A FULL HYBRID MODEL
8.2 COUNTERPARTY RISK WITH A HYBRID CREDIT-EQUITY STRUCTURAL MODEL
8.3 MODEL CALIBRATION AND EMPIRICAL RESULTS
8.4 COUNTERPARTY RISK AND WRONG WAY RISK
Chapter 9: Unilateral CVA for FX
9.1 PRICING WITH TWO CURRENCIES: FOUNDATIONS
9.2 UNILATERAL CVA FOR A FIXED-FIXED CCS
9.3 UNILATERAL CVA FOR CROSS CURRENCY SWAPS WITH FLOATING LEGS
9.4 WHY A CROSS CURRENCY BASIS?
9.5 CVA FOR CCS IN PRACTICE
9.6 NOVATIONS AND THE COST OF LIQUIDITY
9.7 CONCLUSIONS
Part III: Advanced Credit and Funding Risk Pricing
Chapter 10: New Generation Counterparty and Funding Risk Pricing
10.1 INTRODUCING THE ADVANCED PART OF THE BOOK
10.2 WHAT WE HAVE SEEN BEFORE: UNILATERAL CVA
10.3 UNILATERAL DEBIT VALUATION ADJUSTMENT (UDVA)
10.4 BILATERAL RISK AND DVA
10.5 UNDESIRABLE FEATURES OF DVA
10.6 CLOSE-OUT: RISK-FREE OR REPLACEMENT?
10.7 CAN WE NEGLECT THE FIRST-TO-DEFAULT TIME?
10.8 PAYOFF RISK
10.9 COLLATERALIZATION, GAP RISK AND RE-HYPOTHECATION
10.10 FUNDING COSTS
10.11 RESTRUCTURING COUNTERPARTY RISK
10.12 CONCLUSIONS
Chapter 11: A First Attack on Funding Cost Modelling
11.1 THE PROBLEM
11.2 A CLOSER LOOK AT FUNDING AND DISCOUNTING
11.3 THE APPROACH PROPOSED BY MORINI AND PRAMPOLINI (2010)
11.4 WHAT NEXT ON FUNDING?
Chapter 12: Bilateral CVA–DVA and Interest Rate Products
12.1 ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK
12.2 MODELLING ASSUMPTIONS
12.3 NUMERICAL METHODS
12.4 RESULTS AND DISCUSSION
12.5 CONCLUSIONS
Chapter 13: Collateral, Netting, Close-Out and Re-Hypothecation
13.1 TRADING UNDER THE ISDA MASTER AGREEMENT
13.2 BILATERAL CVA FORMULA UNDER COLLATERALIZATION
13.3 CLOSE-OUT AMOUNT EVALUATION
13.4 SPECIAL CASES OF COLLATERAL-INCLUSIVE BILATERAL CREDIT VALUATION ADJUSTMENT
13.5 EXAMPLE OF COLLATERALIZATION SCHEMES
13.6 CONCLUSIONS
Chapter 14: Close-Out and Contagion with Examples of a Simple Payoff
14.1 INTRODUCTION TO CLOSE-OUT MODELLING AND EARLIER WORK
14.2 CLASSICAL UNILATERAL AND BILATERAL VALUATION ADJUSTMENTS
14.3 BILATERAL ADJUSTMENT AND CLOSE-OUT: RISK-FREE OR REPLACEMENT?
14.4 A QUANTITATIVE ANALYSIS AND A NUMERICAL EXAMPLE
14.5 CONCLUSIONS
Chapter 15: Bilateral Collateralized CVA and DVA for Rates and Credit
15.1 CBVA FOR INTEREST RATE SWAPS
15.2 MODELLING CREDIT CONTAGION
15.3 CBVA FOR CREDIT DEFAULT SWAPS
15.4 CONCLUSIONS
Chapter 16: Including Margining Costs in Collateralized Contracts
16.1 TRADING UNDER THE ISDA MASTER AGREEMENT
16.2 CBVA GENERAL FORMULA WITH MARGINING COSTS
16.3 CHANGING THE COLLATERALIZATION CURRENCY
16.4 CONCLUSIONS
Chapter 17: Funding Valuation Adjustment (FVA)?
17.1 DEALING WITH COSTS OF FUNDING
17.2 COLLATERAL- AND FUNDING-INCLUSIVE BILATERAL VALUATION ADJUSTED PRICE
17.3 FUNDING RISK AND LIQUIDITY POLICIES
17.4 CBVA PRICING EQUATION WITH FUNDING COSTS (CFBVA)
17.5 DETAILED EXAMPLES
17.6 CONCLUSIONS: FVA AND BEYOND
Chapter 18: Non-Standard Asset Classes: Longevity Risk
18.1 INTRODUCTION TO LONGEVITY MARKETS
18.2 LONGEVITY SWAPS: THE PAYOFF Π
18.3 MARK-TO-MARKET FOR LONGEVITY SWAPS
18.4 COUNTERPARTY AND OWN DEFAULT RISK, COLLATERAL AND FUNDING
18.5 AN EXAMPLE OF MODELLING SPECIFICATION FROM BIFFIS ET AL. (2011)
18.6 DISCUSSION OF THE RESULTS IN BIFFIS ET AL. (2011)
Chapter 19: Conclusions and Further Work
19.1 A FINAL DIALOGUE: MODELS, REGULATIONS, CVA/DVA, FUNDING AND MORE
Bibliography
Index
 

People also search for Counterparty Credit Risk Collateral and Funding With Pricing Cases for All Asset Classes 1st:

    
counterparty credit risk collateral
    
counterparty credit risk collateral and funding
    
counterparty credit risk collateral and funding pdf
    
counterparty credit risk collateral and funding brigo pdf
    
counterparty credit risk collateral management

Tags:

Counterparty Credit,Collateral and Funding,Damiano Brigo, Massimo Morini, Andrea Pallavicini