LEADER 05910nam 2200805 a 450 001 9910139058703321 005 20200520144314.0 010 $a1-118-81858-X 010 $a0-470-66167-4 010 $a0-470-66178-X 010 $a1-299-31589-5 010 $a0-470-66249-2 035 $a(CKB)2560000000100449 035 $a(EBL)1144006 035 $a(OCoLC)824120034 035 $a(SSID)ssj0000832980 035 $a(PQKBManifestationID)11440131 035 $a(PQKBTitleCode)TC0000832980 035 $a(PQKBWorkID)10918987 035 $a(PQKB)10146887 035 $a(MiAaPQ)EBC1144006 035 $a(DLC) 2013001506 035 $a(Au-PeEL)EBL1144006 035 $a(CaPaEBR)ebr10674827 035 $a(CaONFJC)MIL462839 035 $a(iGPub)WILEYB0012791 035 $a(PPN)235042463 035 $a(FINmELB)ELB177641 035 $a(EXLCZ)992560000000100449 100 $a20150303d2013 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCounterparty credit risk, collateral and funding $ewith pricing cases for all asset classes /$fDamiano Brigo, Massimo Morini, Andrea Pallavicini 205 $a1st ed. 210 $aChichester, England $cWiley$dc2013 215 $a1 online resource (465 p.) 225 1 $aWiley Finance 300 $aDescription based upon print version of record. 311 $a0-470-74846-X 320 $aIncludes bibliographical references and index. 327 $aCounterparty Credit Risk, Collateral and Funding; Contents; Ignition; Abbreviations and Notation; PART I COUNTERPARTY CREDIT RISK, COLLATERAL AND FUNDING; 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 327 $a1.13 Bilateral Counterparty Risk: CVA and DVA1.14 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; 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 327 $a2.5 Counterparty Risk Mitigants: Collateral2.5.1 The Credit Support Annex (CSA); 2.5.2 The ISDA Proposal for a New Standard CSA; 2.5.3 Collateral Effectiveness as a Mitigant; 2.6 Funding; 2.6.1 A First Attack on Funding Cost Modelling; 2.6.2 The General Funding Theory and its Recursive Nature; 2.7 Value at Risk (VaR) and Expected Shortfall (ES) of CVA; 2.8 The Dilemma of Regulators and Basel III; 3 Modelling the Counterparty Default; 3.1 Firm Value (or Structural) Models; 3.1.1 The Geometric Brownian Assumption; 3.1.2 Merton's Model; 3.1.3 Black and Cox's (1976) Model 327 $a3.1.4 Credit Default Swaps and Default Probabilities3.1.5 Black and Cox (B&C) Model Calibration to CDS: Problems; 3.1.6 The AT1P Model; 3.1.7 A Case Study with AT1P: Lehman Brothers Default History; 3.1.8 Comments; 3.1.9 SBTV Model; 3.1.10 A Case Study with SBTV: Lehman Brothers Default History; 3.1.11 Comments; 3.2 Firm Value Models: Hints at the Multiname Picture; 3.3 Reduced Form (Intensity) Models; 3.3.1 CDS Calibration and Intensity Models; 3.3.2 A Simpler Formula for Calibrating Intensity to a Single CDS; 3.3.3 Stochastic Intensity: The CIR Family 327 $a3.3.4 The Cox-Ingersoll-Ross Model (CIR) Short-Rate Model for r3.3.5 Time-Inhomogeneous Case: CIR++ Model; 3.3.6 Stochastic Diffusion Intensity is Not Enough: Adding Jumps. The JCIR(++) Model; 3.3.7 The Jump-Diffusion CIR Model (JCIR); 3.3.8 Market Incompleteness and Default Unpredictability; 3.3.9 Further Models; 3.4 Intensity Models: The Multiname Picture; 3.4.1 Choice of Variables for the Dependence Structure; 3.4.2 Firm Value Models?; 3.4.3 Copula Functions; 3.4.4 Copula Calibration, CDOs and Criticism of Copula Functions; PART II PRICING COUNTERPARTY RISK: UNILATERAL CVA 327 $a4 Unilateral CVA and Netting for Interest Rate Products 330 $aThe book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular 'concrete' financial situations across asset classes, incl 410 0$aWiley finance series. 606 $aFinance$xMathematical models 606 $aCredit$xMathematical models 606 $aCredit derivatives$xMathematical models 606 $aFinancial risk$xMathematical models 615 0$aFinance$xMathematical models. 615 0$aCredit$xMathematical models. 615 0$aCredit derivatives$xMathematical models. 615 0$aFinancial risk$xMathematical models. 676 $a332.701/5195 700 $aBrigo$b Damiano$0614126 701 $aPallavicini$b Andrea$0979162 701 $aMorini$b Massimo$0930112 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139058703321 996 $aCounterparty credit risk, collateral and funding$92232068 997 $aUNINA