Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Counterparty credit risk, collateral and funding : with pricing cases for all asset classes / / Damiano Brigo, Massimo Morini, Andrea Pallavicini
| Counterparty credit risk, collateral and funding : with pricing cases for all asset classes / / Damiano Brigo, Massimo Morini, Andrea Pallavicini |
| Autore | Brigo Damiano |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, England, : Wiley, c2013 |
| Descrizione fisica | 1 online resource (465 p.) |
| Disciplina | 332.701/5195 |
| Altri autori (Persone) |
PallaviciniAndrea
MoriniMassimo |
| Collana | Wiley Finance |
| Soggetto topico |
Finance - Mathematical models
Credit - Mathematical models Credit derivatives - Mathematical models Financial risk - Mathematical models |
| ISBN |
1-118-81858-X
0-470-66167-4 0-470-66178-X 1-299-31589-5 0-470-66249-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Counterparty 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
1.13 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 2.5 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 3.1.4 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 3.3.4 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 4 Unilateral CVA and Netting for Interest Rate Products |
| Record Nr. | UNINA-9910139058703321 |
Brigo Damiano
|
||
| Chichester, England, : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Understanding and managing model risk [[electronic resource] ] : a practical guide for quants, traders and validators / / Massimo Morini
| Understanding and managing model risk [[electronic resource] ] : a practical guide for quants, traders and validators / / Massimo Morini |
| Autore | Morini Massimo |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (450 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | MoriniMassimo |
| Collana | Wiley finance series |
| Soggetto topico |
Risk management
Risk management - Mathematical models |
| ISBN |
1-283-28313-1
9786613283139 0-470-97774-4 1-118-46731-0 1-119-96085-1 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Theory and practice of model risk management -- pt. 2. Snakes in the grass : where model risk hides. |
| Record Nr. | UNINA-9910139601703321 |
|
Morini Massimo
|
||
| Hoboken, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Understanding and managing model risk : a practical guide for quants, traders and validators / / Massimo Morini
| Understanding and managing model risk : a practical guide for quants, traders and validators / / Massimo Morini |
| Autore | Morini Massimo |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (450 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | MoriniMassimo |
| Collana | Wiley finance series |
| Soggetto topico |
Risk management
Risk management - Mathematical models |
| ISBN |
1-283-28313-1
9786613283139 0-470-97774-4 1-118-46731-0 1-119-96085-1 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Theory and practice of model risk management -- pt. 2. Snakes in the grass : where model risk hides. |
| Record Nr. | UNINA-9910818427603321 |
|
Morini Massimo
|
||
| Hoboken, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||