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Biblioteca

MARC Lista (tabellare)
Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation / / by Jan R. M. Röman
Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation / / by Jan R. M. Röman
Autore Röman Jan R. M
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Descrizione fisica 1 online resource (XXXI, 728 p. 141 illus.)
Disciplina 332.6457
Soggetto topico Financial engineering
Social sciences - Mathematics
Capital market
Financial risk management
Financial Engineering
Mathematics in Business, Economics and Finance
Capital Markets
Risk Management
ISBN 9783319525846
3319525840
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Pricing via Arbitrage -- The Central Limit Theorem -- The Binomial model -- More on Binomial models -- Finite difference methods -- Value-at-Risk - VaR -- Introduction to probability theory -- Stochastic integration -- Partial parabolic differential equations and Feynman-Kač -- The Black-Scholes-Merton model -- American versus European options -- Analytical pricing formulas for American options -- Poisson processes and jump diffusion -- Diffusion models in general -- Hedging -- Exotic Options -- Volatility -- Something about weather derivatives -- A Practical guide to pricing -- Pricing using deflators -- Securities with dividends -- Some Fixed-Income securities and Black-Scholes.
Record Nr. UNINA-9910255041503321
Röman Jan R. M  
Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
CDS delivery option [[electronic resource] ] : better pricing of credit default swaps / / David Boberski
CDS delivery option [[electronic resource] ] : better pricing of credit default swaps / / David Boberski
Autore Boberski David
Edizione [1st edition]
Pubbl/distr/stampa New York, : Bloomberg Press, 2009
Descrizione fisica 1 online resource (223 p.)
Disciplina 332.63/2
332.632
332.6457
Collana Bloomberg Financial
Soggetto topico Credit derivatives
Swaps (Finance)
Default (Finance)
Risk management
Soggetto genere / forma Electronic books.
ISBN 1-119-20441-0
1-282-68349-7
9786612683497
0-470-88325-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto pt. 1. Markets and mechanisms -- pt. 2. The delivery option -- pt. 3. Contract design -- pt. 4. A bear market case study.
Record Nr. UNINA-9910139216503321
Boberski David  
New York, : Bloomberg Press, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Clearing and settlement of derivatives [[electronic resource] /] / David Loader
Clearing and settlement of derivatives [[electronic resource] /] / David Loader
Autore Loader David
Edizione [1st edition]
Pubbl/distr/stampa Amsterdam, : Elsevier, 2005
Descrizione fisica 1 online resource (293 p.)
Disciplina 332.6457
Collana Elsevier finance
Soggetto topico Derivative securities
Soggetto genere / forma Electronic books.
ISBN 1-280-63905-9
9786610639052
0-08-045635-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Contents; Preface; Acknowledgements; Disclaimer; The development of futures and options and OTC derivatives; The first futures market; The emergence of financial futures and options markets; The first options markets; Summary; Derivative products; Over-the-counter derivatives; The role of the clearing house; Eurex AG; The Options Clearing Corporation (OCC); LCH.Clearnet; Risk management; Summary; Futures processing; Futures trading; Clearing process; Use of futures; Futures clearing and settlement; Variation margin; Initial margin; Futures delivery; The delivery process
LCH.Clearnet.Clearnet delivery proceduresThe process of delivery; The delivery process of Gilts through CREST; Commodity futures delivery; Physical delivery of LME contracts; The SWORD system; Soft commodities; Workflow road map; Summary; Options processing; Workflow road map; Option exercise and assignment; Exercise and assignment procedures; Delivery; Summary; OTC products; Forward rate agreements; Swaps; Equity swap cash flow; Over-the-counter options; Settlement of OTC products; The post-trade environment; Event calendar; Communication/Information; Other settlement issues
Accounting and regulatory issuesSwapClear; Benefits of netting; SwapsWire; Summary; Using derivatives in investment management; Introduction; Basic illustration of derivatives use in asset allocation; Income enhancement; Hedging; Speculation and exposure taking; Use of OTC derivatives; Regulation and compliance; Summary; Margin and collateral; Initial margin; An explanation of delta; Intra-day margin; Spot month margin; Margin methods; Margin offsets; Variation margin; Tick size; Option margin; Settlement of option margin; Collateral; Acceptable collateral; Margining to a client
Single currency margining and settlementMargining OTC positions; Summary; Impact of corporate actions; Introduction; OTC derivatives; Summary; Operational risk; Identifying and managing specific risks; Mapping operational risk in a derivatives operations environment; Specific operational risks; Recognising, measuring and managing operational risk; Summary; Glossary of derivatives terms; Appendix; Euronext.liffe equity index future contract specification; Euronext.liffe listed option contracts; IPE exchange for physicals; IPE expiry dates; LME copper brands
FSA derivatives and warrants risk warningUseful websites and suggested further reading; Euronext.liffe corporate action policy; SPAN; TIMS; Index
Record Nr. UNINA-9910457724803321
Loader David  
Amsterdam, : Elsevier, 2005
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Clearing and settlement of derivatives [[electronic resource] /] / David Loader
Clearing and settlement of derivatives [[electronic resource] /] / David Loader
Autore Loader David
Edizione [1st edition]
Pubbl/distr/stampa Amsterdam, : Elsevier, 2005
Descrizione fisica 1 online resource (293 p.)
Disciplina 332.6457
Collana Elsevier finance
Soggetto topico Derivative securities
ISBN 1-280-63905-9
9786610639052
0-08-045635-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Contents; Preface; Acknowledgements; Disclaimer; The development of futures and options and OTC derivatives; The first futures market; The emergence of financial futures and options markets; The first options markets; Summary; Derivative products; Over-the-counter derivatives; The role of the clearing house; Eurex AG; The Options Clearing Corporation (OCC); LCH.Clearnet; Risk management; Summary; Futures processing; Futures trading; Clearing process; Use of futures; Futures clearing and settlement; Variation margin; Initial margin; Futures delivery; The delivery process
LCH.Clearnet.Clearnet delivery proceduresThe process of delivery; The delivery process of Gilts through CREST; Commodity futures delivery; Physical delivery of LME contracts; The SWORD system; Soft commodities; Workflow road map; Summary; Options processing; Workflow road map; Option exercise and assignment; Exercise and assignment procedures; Delivery; Summary; OTC products; Forward rate agreements; Swaps; Equity swap cash flow; Over-the-counter options; Settlement of OTC products; The post-trade environment; Event calendar; Communication/Information; Other settlement issues
Accounting and regulatory issuesSwapClear; Benefits of netting; SwapsWire; Summary; Using derivatives in investment management; Introduction; Basic illustration of derivatives use in asset allocation; Income enhancement; Hedging; Speculation and exposure taking; Use of OTC derivatives; Regulation and compliance; Summary; Margin and collateral; Initial margin; An explanation of delta; Intra-day margin; Spot month margin; Margin methods; Margin offsets; Variation margin; Tick size; Option margin; Settlement of option margin; Collateral; Acceptable collateral; Margining to a client
Single currency margining and settlementMargining OTC positions; Summary; Impact of corporate actions; Introduction; OTC derivatives; Summary; Operational risk; Identifying and managing specific risks; Mapping operational risk in a derivatives operations environment; Specific operational risks; Recognising, measuring and managing operational risk; Summary; Glossary of derivatives terms; Appendix; Euronext.liffe equity index future contract specification; Euronext.liffe listed option contracts; IPE exchange for physicals; IPE expiry dates; LME copper brands
FSA derivatives and warrants risk warningUseful websites and suggested further reading; Euronext.liffe corporate action policy; SPAN; TIMS; Index
Record Nr. UNINA-9910784447803321
Loader David  
Amsterdam, : Elsevier, 2005
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Clearing and settlement of derivatives / / David Loader
Clearing and settlement of derivatives / / David Loader
Autore Loader David
Edizione [1st edition]
Pubbl/distr/stampa Amsterdam, : Elsevier, 2005
Descrizione fisica 1 online resource (293 p.)
Disciplina 332.6457
Collana Elsevier finance
Soggetto topico Derivative securities
ISBN 9786610639052
9781280639050
1280639059
9780080456355
0080456359
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Contents; Preface; Acknowledgements; Disclaimer; The development of futures and options and OTC derivatives; The first futures market; The emergence of financial futures and options markets; The first options markets; Summary; Derivative products; Over-the-counter derivatives; The role of the clearing house; Eurex AG; The Options Clearing Corporation (OCC); LCH.Clearnet; Risk management; Summary; Futures processing; Futures trading; Clearing process; Use of futures; Futures clearing and settlement; Variation margin; Initial margin; Futures delivery; The delivery process
LCH.Clearnet.Clearnet delivery proceduresThe process of delivery; The delivery process of Gilts through CREST; Commodity futures delivery; Physical delivery of LME contracts; The SWORD system; Soft commodities; Workflow road map; Summary; Options processing; Workflow road map; Option exercise and assignment; Exercise and assignment procedures; Delivery; Summary; OTC products; Forward rate agreements; Swaps; Equity swap cash flow; Over-the-counter options; Settlement of OTC products; The post-trade environment; Event calendar; Communication/Information; Other settlement issues
Accounting and regulatory issuesSwapClear; Benefits of netting; SwapsWire; Summary; Using derivatives in investment management; Introduction; Basic illustration of derivatives use in asset allocation; Income enhancement; Hedging; Speculation and exposure taking; Use of OTC derivatives; Regulation and compliance; Summary; Margin and collateral; Initial margin; An explanation of delta; Intra-day margin; Spot month margin; Margin methods; Margin offsets; Variation margin; Tick size; Option margin; Settlement of option margin; Collateral; Acceptable collateral; Margining to a client
Single currency margining and settlementMargining OTC positions; Summary; Impact of corporate actions; Introduction; OTC derivatives; Summary; Operational risk; Identifying and managing specific risks; Mapping operational risk in a derivatives operations environment; Specific operational risks; Recognising, measuring and managing operational risk; Summary; Glossary of derivatives terms; Appendix; Euronext.liffe equity index future contract specification; Euronext.liffe listed option contracts; IPE exchange for physicals; IPE expiry dates; LME copper brands
FSA derivatives and warrants risk warningUseful websites and suggested further reading; Euronext.liffe corporate action policy; SPAN; TIMS; Index
Record Nr. UNINA-9910959667703321
Loader David  
Amsterdam, : Elsevier, 2005
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Collapse and bankruptcy of mf global / / Tao Zhu, editor
Collapse and bankruptcy of mf global / / Tao Zhu, editor
Pubbl/distr/stampa New York : , : Nova Science Publishers, Incorporated, , [2013]
Descrizione fisica 1 online resource (120 pages)
Disciplina 332.6457
Collana Economic issues, problems and perspectives
Business economics in a rapidly-changing world
Soggetto topico Bankruptcy - United States
Stockbrokers - United States
ISBN 1-62417-711-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910162783203321
New York : , : Nova Science Publishers, Incorporated, , [2013]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory
Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory
Autore Gregory Jon, Ph. D.
Edizione [1st edition]
Pubbl/distr/stampa Chichester, U.K., : Wiley, c2010
Descrizione fisica 1 online resource (450 p.)
Disciplina 332.6457
Collana Wiley finance
Soggetto topico Derivative securities - Mathematical models
Risk management
Soggetto genere / forma Electronic books.
ISBN 1-283-23951-5
9786613239518
0-470-97272-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Counterparty Credit Risk: The New Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Abbreviations; Introduction; 1 Setting the Scene; 1.1 Financial risk management; 1.1.1 Market risk; 1.1.2 Liquidity risk; 1.1.3 Operational risk; 1.1.4 Credit risk; 1.1.5 Value-at-risk; 1.1.6 Disadvantages of value-at-risk; 1.2 The failure of models; 1.2.1 Why models?; 1.2.2 Good model, bad model; 1.3 The derivatives market; 1.3.1 What is a derivative?; 1.3.2 Market structure; 1.4 Risks of derivatives; 1.4.1 Too big to fail; 1.4.2 Systemic risk
1.4.3 Compensation culture 1.4.4 Credit derivatives; 1.5 Counterparty risk in context; 1.5.1 What is counterparty risk?; 1.5.2 Mitigation of counterparty risk; 1.5.3 Counterparty risk and integration of risk types; 1.5.4 Counterparty risk and today's derivatives market; 2 Defining Counterparty Credit Risk; 2.1 Introducing counterparty risk; 2.1.1 Origins of counterparty risk; 2.1.2 Repos; 2.1.3 Exchange-traded derivatives; 2.1.4 OTC derivatives; 2.1.5 Counterparty risk; 2.1.6 Counterparty risk versus lending risk; 2.1.7 Mitigating counterparty risk; 2.1.8 Counterparty risk players
2.2 Components and terminology 2.2.1 Credit exposure; 2.2.2 Default probability and credit migration; 2.2.3 Recovery; 2.2.4 Mark-to-market; 2.2.5 Replacement cost; 2.2.6 Exposure; 2.2.7 Exposure as a short option position; 2.2.8 Potential future exposure (PFE); 2.3 Controlling counterparty credit risk; 2.3.1 Trading with high-quality counterparties; 2.3.2 Cross-product netting; 2.3.3 Close-out; 2.3.4 Collateralisation; 2.3.5 Walkaway features; 2.3.6 Monolines; 2.3.7 Diversification of counterparty risk; 2.3.8 Exchanges and centralised clearing houses; 2.4 Quantifying counterparty risk
2.4.1 Credit lines 2.4.2 Pricing counterparty risk; 2.4.3 Hedging counterparty risk; 2.4.4 Capital requirements and counterparty risk; 2.5 Metrics for credit exposure; 2.5.1 Expected MtM; 2.5.2 Expected exposure; 2.5.3 Potential future exposure; 2.5.4 EE and PFE for a normal distribution; 2.5.5 Overview of exposure metrics; 2.5.6 Expected positive exposure; 2.5.7 Effective EPE; 2.5.8 Maximum PFE; 2.6 Summary; Appendix 2.A Characterising exposure for a normal distribution; 3 Mitigating Counterparty Credit Risk; 3.1 Introduction; 3.1.1 Two-way or one-way agreements; 3.1.2 Standardisation
3.2 Default-remote entities 3.2.1 High-quality counterparties; 3.2.2 Special purpose vehicles; 3.2.3 Central counterparties; 3.3 Termination and walkaway features; 3.3.1 Termination events; 3.3.2 Additional termination events; 3.3.3 Walkaway features; 3.4 Netting and close-out; 3.4.1 Close-out; 3.4.2 Payment and close-out netting; 3.4.3 The need for close-out netting; 3.4.4 The birth of netting; 3.4.5 Netting agreements; 3.4.6 The ISDA Master Agreement; 3.4.7 Product coverage; 3.4.8 Netting and exposure; 3.4.9 Advantages and disadvantages of netting; 3.4.10 Multilateral netting
3.5 Netting and exposure
Record Nr. UNINA-9910456723903321
Gregory Jon, Ph. D.  
Chichester, U.K., : Wiley, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory
Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory
Autore Gregory Jon, Ph. D.
Edizione [1st edition]
Pubbl/distr/stampa Chichester, U.K., : Wiley, c2010
Descrizione fisica 1 online resource (450 p.)
Disciplina 332.6457
Collana Wiley finance
Soggetto topico Derivative securities - Mathematical models
Risk management
ISBN 1-283-23951-5
9786613239518
0-470-97272-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Counterparty Credit Risk: The New Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Abbreviations; Introduction; 1 Setting the Scene; 1.1 Financial risk management; 1.1.1 Market risk; 1.1.2 Liquidity risk; 1.1.3 Operational risk; 1.1.4 Credit risk; 1.1.5 Value-at-risk; 1.1.6 Disadvantages of value-at-risk; 1.2 The failure of models; 1.2.1 Why models?; 1.2.2 Good model, bad model; 1.3 The derivatives market; 1.3.1 What is a derivative?; 1.3.2 Market structure; 1.4 Risks of derivatives; 1.4.1 Too big to fail; 1.4.2 Systemic risk
1.4.3 Compensation culture 1.4.4 Credit derivatives; 1.5 Counterparty risk in context; 1.5.1 What is counterparty risk?; 1.5.2 Mitigation of counterparty risk; 1.5.3 Counterparty risk and integration of risk types; 1.5.4 Counterparty risk and today's derivatives market; 2 Defining Counterparty Credit Risk; 2.1 Introducing counterparty risk; 2.1.1 Origins of counterparty risk; 2.1.2 Repos; 2.1.3 Exchange-traded derivatives; 2.1.4 OTC derivatives; 2.1.5 Counterparty risk; 2.1.6 Counterparty risk versus lending risk; 2.1.7 Mitigating counterparty risk; 2.1.8 Counterparty risk players
2.2 Components and terminology 2.2.1 Credit exposure; 2.2.2 Default probability and credit migration; 2.2.3 Recovery; 2.2.4 Mark-to-market; 2.2.5 Replacement cost; 2.2.6 Exposure; 2.2.7 Exposure as a short option position; 2.2.8 Potential future exposure (PFE); 2.3 Controlling counterparty credit risk; 2.3.1 Trading with high-quality counterparties; 2.3.2 Cross-product netting; 2.3.3 Close-out; 2.3.4 Collateralisation; 2.3.5 Walkaway features; 2.3.6 Monolines; 2.3.7 Diversification of counterparty risk; 2.3.8 Exchanges and centralised clearing houses; 2.4 Quantifying counterparty risk
2.4.1 Credit lines 2.4.2 Pricing counterparty risk; 2.4.3 Hedging counterparty risk; 2.4.4 Capital requirements and counterparty risk; 2.5 Metrics for credit exposure; 2.5.1 Expected MtM; 2.5.2 Expected exposure; 2.5.3 Potential future exposure; 2.5.4 EE and PFE for a normal distribution; 2.5.5 Overview of exposure metrics; 2.5.6 Expected positive exposure; 2.5.7 Effective EPE; 2.5.8 Maximum PFE; 2.6 Summary; Appendix 2.A Characterising exposure for a normal distribution; 3 Mitigating Counterparty Credit Risk; 3.1 Introduction; 3.1.1 Two-way or one-way agreements; 3.1.2 Standardisation
3.2 Default-remote entities 3.2.1 High-quality counterparties; 3.2.2 Special purpose vehicles; 3.2.3 Central counterparties; 3.3 Termination and walkaway features; 3.3.1 Termination events; 3.3.2 Additional termination events; 3.3.3 Walkaway features; 3.4 Netting and close-out; 3.4.1 Close-out; 3.4.2 Payment and close-out netting; 3.4.3 The need for close-out netting; 3.4.4 The birth of netting; 3.4.5 Netting agreements; 3.4.6 The ISDA Master Agreement; 3.4.7 Product coverage; 3.4.8 Netting and exposure; 3.4.9 Advantages and disadvantages of netting; 3.4.10 Multilateral netting
3.5 Netting and exposure
Record Nr. UNINA-9910781765103321
Gregory Jon, Ph. D.  
Chichester, U.K., : Wiley, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Counterparty credit risk : the new challenge for global financial markets / / Jon Gregory
Counterparty credit risk : the new challenge for global financial markets / / Jon Gregory
Autore Gregory Jon, Ph. D.
Edizione [1st edition]
Pubbl/distr/stampa Chichester, U.K., : Wiley, c2010
Descrizione fisica 1 online resource (450 p.)
Disciplina 332.6457
Collana Wiley finance
Soggetto topico Derivative securities - Mathematical models
Risk management
ISBN 9786613239518
9781283239516
1283239515
9780470972724
0470972726
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Counterparty Credit Risk: The New Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Abbreviations; Introduction; 1 Setting the Scene; 1.1 Financial risk management; 1.1.1 Market risk; 1.1.2 Liquidity risk; 1.1.3 Operational risk; 1.1.4 Credit risk; 1.1.5 Value-at-risk; 1.1.6 Disadvantages of value-at-risk; 1.2 The failure of models; 1.2.1 Why models?; 1.2.2 Good model, bad model; 1.3 The derivatives market; 1.3.1 What is a derivative?; 1.3.2 Market structure; 1.4 Risks of derivatives; 1.4.1 Too big to fail; 1.4.2 Systemic risk
1.4.3 Compensation culture 1.4.4 Credit derivatives; 1.5 Counterparty risk in context; 1.5.1 What is counterparty risk?; 1.5.2 Mitigation of counterparty risk; 1.5.3 Counterparty risk and integration of risk types; 1.5.4 Counterparty risk and today's derivatives market; 2 Defining Counterparty Credit Risk; 2.1 Introducing counterparty risk; 2.1.1 Origins of counterparty risk; 2.1.2 Repos; 2.1.3 Exchange-traded derivatives; 2.1.4 OTC derivatives; 2.1.5 Counterparty risk; 2.1.6 Counterparty risk versus lending risk; 2.1.7 Mitigating counterparty risk; 2.1.8 Counterparty risk players
2.2 Components and terminology 2.2.1 Credit exposure; 2.2.2 Default probability and credit migration; 2.2.3 Recovery; 2.2.4 Mark-to-market; 2.2.5 Replacement cost; 2.2.6 Exposure; 2.2.7 Exposure as a short option position; 2.2.8 Potential future exposure (PFE); 2.3 Controlling counterparty credit risk; 2.3.1 Trading with high-quality counterparties; 2.3.2 Cross-product netting; 2.3.3 Close-out; 2.3.4 Collateralisation; 2.3.5 Walkaway features; 2.3.6 Monolines; 2.3.7 Diversification of counterparty risk; 2.3.8 Exchanges and centralised clearing houses; 2.4 Quantifying counterparty risk
2.4.1 Credit lines 2.4.2 Pricing counterparty risk; 2.4.3 Hedging counterparty risk; 2.4.4 Capital requirements and counterparty risk; 2.5 Metrics for credit exposure; 2.5.1 Expected MtM; 2.5.2 Expected exposure; 2.5.3 Potential future exposure; 2.5.4 EE and PFE for a normal distribution; 2.5.5 Overview of exposure metrics; 2.5.6 Expected positive exposure; 2.5.7 Effective EPE; 2.5.8 Maximum PFE; 2.6 Summary; Appendix 2.A Characterising exposure for a normal distribution; 3 Mitigating Counterparty Credit Risk; 3.1 Introduction; 3.1.1 Two-way or one-way agreements; 3.1.2 Standardisation
3.2 Default-remote entities 3.2.1 High-quality counterparties; 3.2.2 Special purpose vehicles; 3.2.3 Central counterparties; 3.3 Termination and walkaway features; 3.3.1 Termination events; 3.3.2 Additional termination events; 3.3.3 Walkaway features; 3.4 Netting and close-out; 3.4.1 Close-out; 3.4.2 Payment and close-out netting; 3.4.3 The need for close-out netting; 3.4.4 The birth of netting; 3.4.5 Netting agreements; 3.4.6 The ISDA Master Agreement; 3.4.7 Product coverage; 3.4.8 Netting and exposure; 3.4.9 Advantages and disadvantages of netting; 3.4.10 Multilateral netting
3.5 Netting and exposure
Record Nr. UNINA-9910965991703321
Gregory Jon, Ph. D.  
Chichester, U.K., : Wiley, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Credit derivative strategies [[electronic resource] ] : new thinking on managing risk and return / / edited by Rohan Douglas
Credit derivative strategies [[electronic resource] ] : new thinking on managing risk and return / / edited by Rohan Douglas
Autore Douglas Rohan
Edizione [1st ed.]
Pubbl/distr/stampa New York, : Bloomberg Press, 2007
Descrizione fisica 1 online resource (241 p.)
Disciplina 332.63/2
332.632
332.6457
Altri autori (Persone) DouglasRohan
Collana Bloomberg Financial
Soggetto topico Credit derivatives
Risk management
Soggetto genere / forma Electronic books.
ISBN 1-119-20422-4
1-282-68426-4
9786612684265
0-470-88301-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto pt. 1. Investment strategies -- pt. 2. Risk management strategies -- pt. 3. Pricing, products, and procedures.
Record Nr. UNINA-9910139216103321
Douglas Rohan  
New York, : Bloomberg Press, 2007
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui