Counterparty Credit Risk, Collateral and Funding | Zookal Textbooks | Zookal Textbooks
  • Author(s) Damiano Brigo / Massimo Morini / Andrea Pallavicini
  • SubtitleWith Pricing Cases For All Asset Classes
  • Edition1
  • Published15th March 2013
  • PublisherJohn Wiley & Sons (UK)
  • ISBN9780470748466

With Pricing Cases For All Asset Classes

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

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  • Author(s) Damiano Brigo / Massimo Morini / Andrea Pallavicini
  • SubtitleWith Pricing Cases For All Asset Classes
  • Edition1
  • Published15th March 2013
  • PublisherJohn Wiley & Sons (UK)
  • ISBN9780470748466

With Pricing Cases For All Asset Classes

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.

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