Counterparty Credit Risk Collateral And Funding

Author: Damiano Brigo
Editor: John Wiley & Sons
ISBN: 047074846X
File Size: 61,68 MB
Format: PDF, Docs
Read: 2623
Download

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
Language: en
Pages: 464
Authors: Damiano Brigo, Massimo Morini, Andrea Pallavicini
Categories: Business & Economics
Type: BOOK - Published: 2013-04-22 - Publisher: John Wiley & Sons

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
The English Reports: Chancery (including collateral reports) (1557-1865)
Language: en
Pages:
Authors: Damiano Brigo, Massimo Morini, Andrea Pallavicini
Categories: Law reports, digests, etc
Type: BOOK - Published: 1904 - Publisher:

Books about The English Reports: Chancery (including collateral reports) (1557-1865)
An Essay on Collateral Consanguinity, It's Limits, Extent, and Duration;
Language: en
Pages: 78
Authors: William Blackstone
Categories: Consanguinity
Type: BOOK - Published: 1750 - Publisher:

Books about An Essay on Collateral Consanguinity, It's Limits, Extent, and Duration;
Collateral
Language: en
Pages: 512
Authors: Ellen Hopkins
Categories: Fiction
Type: BOOK - Published: 2013-07-23 - Publisher: Simon and Schuster

Ashley is torn between her love for sensitive yet dedicated Marine Cole and her resentment of the war that is tearing their lives apart. Reprint. 125,000 first printing.
Halo: Collateral Damage
Language: en
Pages: 78
Authors: Alex Irvine
Categories: Comics & Graphic Novels
Type: BOOK - Published: 2019-02-05 - Publisher: Dark Horse Comics

The Master Chief and Blue Team are deployed by the UNSC to Alpha Corvi II, a precarious human colony world, seeking to halt the Covenant's efforts to uncover something hidden below the planet's surface. Before they were legends in the Halo universe, they were soldiers on the front lines. Alpha