Counterparty credit risk : measurement, pricing and hedging /
"This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing...
| Други автори: | Canabarro, Eduardo. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
London :
Risk Books,
[2009]
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=668321 |
| Подобни документи: |
Print version::
Counterparty credit risk |
Съдържание:
- pt. I. Counterparty risk measurement and management
- 1. Systemic counterparty credit risk
- 2. Collateralised credit exposure
- 3. Efficient calculation of counterparty exposure conditional on default
- 4. Effective, enterprise-wide collateral management
- 5. Evolution of the US legal framework for counterparty risk mitigation
- pt. II. Counterparty risk pricing and hedging
- 6. Pricing and hedging counterparty risk: lessons re-learned?
- 7. The counterparty risk of credit derivative products
- 8. Contingent credit default swaps
- 9. Funding benefit and funding cost
- 10. Generalized valuation of collateralised derivatives
- pt. III. Stress testing
- 11. Stress testing and scenario analysis: some second generation approaches
- 12. Computing and stress testing counterparty credit risk capital
- pt. IV. Economic and regulatory capital
- 13. Back(testing) to the future: from market risk to counterparty credit risk models
- 14. Economic capital for counterparty credit risk from two perspectives.