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Cover image for product 047074846X
Brigo
ISBN: 978-0-470-74846-6
Hardcover
464 pages
March 2013, ©2010
This is an out of stock title.
  • Description
  • Table of Contents
  • Author Information

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes aims to help academic researchers, quantitative analysts and traders who need to frame and price counterparty credit and funding risk, to develop a feel for applying advanced mathematics and stochastic models to solve practical problems.

The book focuses on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book also looks at practical problems, linking particular models to particular financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging area of longevity / mortality risk. Several pricing examples and numerical case studies are presented. The implications for regulation, from Basel III to FASB and IAS, are also considered. The main models are illustrated from theoretical formulation to final implementation with calibration to market data. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are discussed.

Written by authors who are methodology thought leaders both in industry and academia, Counterparty Credit Risk, Collateral and Funding is a must-have for anyone who is interested in expanding their mathematical knowledgebase and their understanding of counterparty credit models in order to accurately price and hedge a number of financial instruments.

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