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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 |
9781118818589
111881858X 9780470661673 0470661674 9780470661789 047066178X 9781299315891 1299315895 9780470662496 0470662492 |
| 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
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| Chichester, England, : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Extreme value methods with applications to finance / / Serguei Y. Novak
| Extreme value methods with applications to finance / / Serguei Y. Novak |
| Autore | Novak Serguei Y. |
| Pubbl/distr/stampa | Boca Raton, Fla. : , : CRC Press, , 2012 |
| Descrizione fisica | 1 online resource (397 p.) |
| Disciplina | 332.01/5195 |
| Collana | Monographs on statistics and applied probability |
| Soggetto topico |
Finance - Mathematical models
Financial risk - Mathematical models Extreme value theory - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-429-09383-7
1-280-12191-2 9786613525772 1-4398-3575-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front Cover; Detication; Contents; Preface; Introduction; List of Conventions; List of Abbreviations; Author; Part I: Distribution of Extremes; 1. Methods of Extreme Value Theory; 2. Maximum of Partial Sums; 3. Extremes in Samples of Random Size; 4. Poisson Approximation; 5. Compound Poisson Approximation; 6. Exceedances of Several Levels; 7. Processes of Exceedances; 8. Beyond Compound Poisson; Part II: Statistics of Extremes; 9. Inference on Heavy Tails; 10. Value-at-Risk; 11. Extremal Index; 12. Normal Approximation; 13. Lower Bounds; 14. Appendix; References |
| Record Nr. | UNINA-9910457269803321 |
|
Novak Serguei Y.
|
||
| Boca Raton, Fla. : , : CRC Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Extreme value methods with applications to finance / / Serguei Y. Novak
| Extreme value methods with applications to finance / / Serguei Y. Novak |
| Autore | Novak Serguei Y. |
| Pubbl/distr/stampa | Boca Raton, Fla. : , : CRC Press, , 2012 |
| Descrizione fisica | 1 online resource (397 p.) |
| Disciplina | 332.01/5195 |
| Collana | Monographs on statistics and applied probability |
| Soggetto topico |
Finance - Mathematical models
Financial risk - Mathematical models Extreme value theory - Mathematical models |
| ISBN |
0-429-09383-7
1-280-12191-2 9786613525772 1-4398-3575-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front Cover; Detication; Contents; Preface; Introduction; List of Conventions; List of Abbreviations; Author; Part I: Distribution of Extremes; 1. Methods of Extreme Value Theory; 2. Maximum of Partial Sums; 3. Extremes in Samples of Random Size; 4. Poisson Approximation; 5. Compound Poisson Approximation; 6. Exceedances of Several Levels; 7. Processes of Exceedances; 8. Beyond Compound Poisson; Part II: Statistics of Extremes; 9. Inference on Heavy Tails; 10. Value-at-Risk; 11. Extremal Index; 12. Normal Approximation; 13. Lower Bounds; 14. Appendix; References |
| Record Nr. | UNINA-9910778817703321 |
|
Novak Serguei Y.
|
||
| Boca Raton, Fla. : , : CRC Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Extreme value methods with applications to finance / / Serguei Y. Novak
| Extreme value methods with applications to finance / / Serguei Y. Novak |
| Autore | Novak Serguei Y |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Boca Raton, FL, : CRC Press, c2012 |
| Descrizione fisica | 1 online resource (397 p.) |
| Disciplina | 332.01/5195 |
| Collana | Monographs on statistics and applied probability |
| Soggetto topico |
Finance - Mathematical models
Financial risk - Mathematical models Extreme value theory - Mathematical models |
| ISBN |
9786613525772
9781040195581 104019558X 9780429093838 0429093837 9781280121913 1280121912 9781439835753 1439835756 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front Cover; Detication; Contents; Preface; Introduction; List of Conventions; List of Abbreviations; Author; Part I: Distribution of Extremes; 1. Methods of Extreme Value Theory; 2. Maximum of Partial Sums; 3. Extremes in Samples of Random Size; 4. Poisson Approximation; 5. Compound Poisson Approximation; 6. Exceedances of Several Levels; 7. Processes of Exceedances; 8. Beyond Compound Poisson; Part II: Statistics of Extremes; 9. Inference on Heavy Tails; 10. Value-at-Risk; 11. Extremal Index; 12. Normal Approximation; 13. Lower Bounds; 14. Appendix; References |
| Record Nr. | UNINA-9910965056303321 |
|
Novak Serguei Y
|
||
| Boca Raton, FL, : CRC Press, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff
| Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff |
| Autore | Pfaff Bernhard |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Chichester, [England] : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (497 p.) |
| Disciplina | 332.0285/5133 |
| Collana | THEi Wiley ebooks |
| Soggetto topico |
Financial risk - Mathematical models
Portfolio management R (Computer program language) |
| ISBN |
1-119-11967-7
1-119-11968-5 1-119-11969-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Table of Contents; Preface to the Second Edition; Preface; Abbreviations; About the Companion Website; Part I: Motivation; Chapter 1: Introduction; Reference; Chapter 2: A brief course in R; 2.1 Origin and development; 2.2 Getting help; 2.3 Working with R; 2.4 Classes, methods, and functions; 2.5 The accompanying package FRAPO; References; Chapter 3: Financial market data; 3.1 Stylized facts of financial market returns; 3.2 Implications for risk models; References; Chapter 4: Measuring risks; 4.1 Introduction; 4.2 Synopsis of risk measures; 4.3 Portfolio risk concepts
ReferencesChapter 5: Modern portfolio theory; 5.1 Introduction; 5.2 Markowitz portfolios; 5.3 Empirical mean-variance portfolios; References; Part II: Risk modelling; Chapter 6: Suitable distributions for returns; 6.1 Preliminaries; 6.2 The generalized hyperbolic distribution; 6.3 The generalized lambda distribution; 6.4 Synopsis of R packages for GHD; 6.5 Synopsis of R packages for GLD; 6.6 Applications of the GHD to risk modelling; 6.7 Applications of the GLD to risk modelling and data analysis; References; Chapter 7: Extreme value theory; 7.1 Preliminaries 7.2 Extreme value methods and models7.3 Synopsis of R packages; 7.4 Empirical applications of EVT; References; Chapter 8: Modelling volatility; 8.1 Preliminaries; 8.2 The class of ARCH models; 8.3 Synopsis of R packages; 8.4 Empirical application of volatility models; References; Chapter 9: Modelling dependence; 9.1 Overview; 9.2 Correlation, dependence, and distributions; 9.3 Copulae; 9.4 Synopsis of R packages; 9.5 Empirical applications of copulae; References; Part III: Portfolio optimization approaches; Chapter 10: Robust portfolio optimization; 10.1 Overview; 10.2 Robust statistics 10.3 Robust optimization10.4 Synopsis of R packages; 10.5 Empirical applications; References; Chapter 11: Diversification reconsidered; 11.1 Introduction; 11.2 Most-diversified portfolio; 11.3 Risk contribution constrained portfolios; 11.4 Optimal tail-dependent portfolios; 11.5 Synopsis of R packages; 11.6 Empirical applications; References; Chapter 12: Risk-optimal portfolios; 12.1 Overview; 12.2 Mean-VaR portfolios; 12.3 Optimal CVaR portfolios; 12.4 Optimal draw-down portfolios; 12.5 Synopsis of R packages; 12.6 Empirical applications; References; Chapter 13: Tactical asset allocation 13.1 Overview13.2 Survey of selected time series models; 13.3 The Black-Litterman approach; 13.4 Copula opinion and entropy pooling; 13.5 Synopsis of R packages; References; Chapter 14: Probabilistic utility; 14.1 Overview; 14.2 The concept of probabilistic utility; 14.3 Markov chain Monte Carlo; 14.4 Synopsis of R packages; 14.5 Empirical application; References; Appendix A: Package overview; A.1 Packages in alphabetical order; A.2 Packages ordered by topic; References; Appendix B: Time series data; B.1 Date/time classes; B.2 The ts class in the base package stats B.3 Irregularly spaced time series |
| Record Nr. | UNINA-9910135020703321 |
|
Pfaff Bernhard
|
||
| Chichester, [England] : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff
| Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff |
| Autore | Pfaff Bernhard |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Chichester, [England] : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (497 p.) |
| Disciplina | 332.0285/5133 |
| Collana | THEi Wiley ebooks |
| Soggetto topico |
Financial risk - Mathematical models
Portfolio management R (Computer program language) |
| ISBN |
1-119-11967-7
1-119-11968-5 1-119-11969-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Table of Contents; Preface to the Second Edition; Preface; Abbreviations; About the Companion Website; Part I: Motivation; Chapter 1: Introduction; Reference; Chapter 2: A brief course in R; 2.1 Origin and development; 2.2 Getting help; 2.3 Working with R; 2.4 Classes, methods, and functions; 2.5 The accompanying package FRAPO; References; Chapter 3: Financial market data; 3.1 Stylized facts of financial market returns; 3.2 Implications for risk models; References; Chapter 4: Measuring risks; 4.1 Introduction; 4.2 Synopsis of risk measures; 4.3 Portfolio risk concepts
ReferencesChapter 5: Modern portfolio theory; 5.1 Introduction; 5.2 Markowitz portfolios; 5.3 Empirical mean-variance portfolios; References; Part II: Risk modelling; Chapter 6: Suitable distributions for returns; 6.1 Preliminaries; 6.2 The generalized hyperbolic distribution; 6.3 The generalized lambda distribution; 6.4 Synopsis of R packages for GHD; 6.5 Synopsis of R packages for GLD; 6.6 Applications of the GHD to risk modelling; 6.7 Applications of the GLD to risk modelling and data analysis; References; Chapter 7: Extreme value theory; 7.1 Preliminaries 7.2 Extreme value methods and models7.3 Synopsis of R packages; 7.4 Empirical applications of EVT; References; Chapter 8: Modelling volatility; 8.1 Preliminaries; 8.2 The class of ARCH models; 8.3 Synopsis of R packages; 8.4 Empirical application of volatility models; References; Chapter 9: Modelling dependence; 9.1 Overview; 9.2 Correlation, dependence, and distributions; 9.3 Copulae; 9.4 Synopsis of R packages; 9.5 Empirical applications of copulae; References; Part III: Portfolio optimization approaches; Chapter 10: Robust portfolio optimization; 10.1 Overview; 10.2 Robust statistics 10.3 Robust optimization10.4 Synopsis of R packages; 10.5 Empirical applications; References; Chapter 11: Diversification reconsidered; 11.1 Introduction; 11.2 Most-diversified portfolio; 11.3 Risk contribution constrained portfolios; 11.4 Optimal tail-dependent portfolios; 11.5 Synopsis of R packages; 11.6 Empirical applications; References; Chapter 12: Risk-optimal portfolios; 12.1 Overview; 12.2 Mean-VaR portfolios; 12.3 Optimal CVaR portfolios; 12.4 Optimal draw-down portfolios; 12.5 Synopsis of R packages; 12.6 Empirical applications; References; Chapter 13: Tactical asset allocation 13.1 Overview13.2 Survey of selected time series models; 13.3 The Black-Litterman approach; 13.4 Copula opinion and entropy pooling; 13.5 Synopsis of R packages; References; Chapter 14: Probabilistic utility; 14.1 Overview; 14.2 The concept of probabilistic utility; 14.3 Markov chain Monte Carlo; 14.4 Synopsis of R packages; 14.5 Empirical application; References; Appendix A: Package overview; A.1 Packages in alphabetical order; A.2 Packages ordered by topic; References; Appendix B: Time series data; B.1 Date/time classes; B.2 The ts class in the base package stats B.3 Irregularly spaced time series |
| Record Nr. | UNINA-9910811486003321 |
|
Pfaff Bernhard
|
||
| Chichester, [England] : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
