Counterparty credit risk
Subtitle: measurement, pricing and hedging
By: edited by Eduardo Canabarro
Publisher: Risk Books
Published: 2009
Place of publication: London
Language: eng
Number of pages: 356
ISBN-13: 9781906348342
Copyright date: 2009
Subjects: Financial risk management; Derivative securities; Over-the-counter markets
Description: "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 and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks."--Publisher's website.
Notes: Includes bibliographical references and index.
Table of contents: title: Pt. I. Counterparty risk measurement and management; title: 1. Systemic counterparty credit risk; title: 2. Collateralised credit exposure; title: 3. Efficient calculation of counterparty exposure conditional on default; title: 4. Effective, enterprise-wide collateral management; title: 5. Evolution of the US legal framework for counterparty risk mitigation; title: Pt. II. Counterparty risk pricing and hedging; title: 6. Pricing and hedging counterparty risk: lessons re-learned?; title: 7. The counterparty risk of credit derivative products; title: 8. Contingent credit default swaps; title: 9. Funding benefit and funding cost; title: 10. Generalized valuation of collateralised derivatives; title: Pt. III. Stress testing; title: 11. Stress testing and scenario analysis: some second generation approaches; title: 12. Computing and stress testing counterparty credit risk capital; title: Pt. IV. Economic and regulatory capital; title: 13. Back(testing) to the future: from market risk to counterparty credit risk models; title: 14. Economic capital for counterparty credit risk from two perspectives.