Counterparty Risk and Funding: A Tale of Two Puzzles - Rilegato

Crépey, Stéphane; Bielecki, Tomasz R.; Brigo, Damiano

Rilegato

ISBN 10: 1466516453 ISBN 13: 9781466516458

Casa editrice: Chapman and Hall/CRC, 2014

Riassunto

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk

Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral.

The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas.

The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.

Su questo libro

Informazioni sull?autore

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo

Dettagli dell'edizione

• Editore: Chapman and Hall/CRC
• Data di pubblicazione: 2014
• Lingua: Inglese
• ISBN 10: 1466516453
• ISBN 13: 9781466516458
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 388
• Contatto del produttore: Taylor and Francis, GPSR Taylor and Francis; gpsr@taylorandfrancis.com; ; Taylor & Francis Verlag GmbH, Kaufingerstraße 24; München; 80331; Germania