Counterparty credit risk, collateral and funding : with pricing cases for all asset classes [Material Impreso] / Damiano Brigo, Massimo Morinim, Andrea Pallavicini
Series Wiley finance seriesDatos de publicación: Chichester: John Wiley & Sons, c2013Descripción: xxvii, 435 p. grafs. 25 x 18 cm. IMPRESOISBN: 978-0-470-74846-6Tema(s): GESTIÓN DE LOS RIESGOS | RIESGO | RIESGO DEL CRÉDITO | RIESGO FINANCIERO | MODELOS MATEMATICOSResumen: Contiene: I. Counterparty credit risk, collateral and funding. 1. Introduction. 2. Context. 3. Modelling the Counterparty Default.- II. Pricing counterparty risk: unilateral CVA. 4. Unilateral CVA and netting for interest rate products. 5. Wrong Way Risk (WWR) for interest rates. 6. Unilateral CVA for commodities with WWR. 7. Unilateral CVA for credit with WWR. 8. Unilateral CVA for equity with WWR. 9. Unilateral CVA for FX.- III. Advanced credit and funding risk pricing. 10. New generation counterparty and funding risk pricing. 11. A first attack on funding cost modelling. 12. Bilateral CVADVA and interest rate products. 13. Collateral, netting, close-out and re-hypothecation. 14. Close-out and contagion with examples of a simple payoff. 15. Bilateral collateralized CVA and DVA for rates and credit. 16. Including margining costs in collateralized contracts. 17. Funding Valuation Adjustment (FVA)? 18. Non-standard asset classes: longevity risk. 19. Conclusions and further work.| Tipo de ítem | Biblioteca de origen | Colección | Signatura topográfica | Estado | Fecha de vencimiento | Código de barras | |
|---|---|---|---|---|---|---|---|
Libro Sala
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Pocitos | Colección Riesgo | RIESGO 332.7 BRI | Disponible | P34866 | ||
Material Impreso
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Pocitos | Colección Riesgo | RIESGO 332.7 BRI ej.2 | Disponible | P34867 |
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Contiene: I. Counterparty credit risk, collateral and funding. 1. Introduction. 2. Context. 3. Modelling the Counterparty Default.- II. Pricing counterparty risk: unilateral CVA. 4. Unilateral CVA and netting for interest rate products. 5. Wrong Way Risk (WWR) for interest rates. 6. Unilateral CVA for commodities with WWR. 7. Unilateral CVA for credit with WWR. 8. Unilateral CVA for equity with WWR. 9. Unilateral CVA for FX.- III. Advanced credit and funding risk pricing. 10. New generation counterparty and funding risk pricing. 11. A first attack on funding cost modelling. 12. Bilateral CVADVA and interest rate products. 13. Collateral, netting, close-out and re-hypothecation. 14. Close-out and contagion with examples of a simple payoff. 15. Bilateral collateralized CVA and DVA for rates and credit. 16. Including margining costs in collateralized contracts. 17. Funding Valuation Adjustment (FVA)? 18. Non-standard asset classes: longevity risk. 19. Conclusions and further work.
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