Modelling, Pricing, and Hedging Counterparty Credit Exposure A Technical Guide /

• Main Authors: Cesari, Giovanni. (Author), Aquilina, John. (Author), Charpillon, Niels. (Author), Filipovic, Zlatko. (Author), Lee, Gordon. (Author), Manda, Ion. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Springer Finance
• Subjects: Mathematics.; Finance.; Numerical analysis.; Distribution (Probability theory).; Economics > Statistics.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Numerical Analysis.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-04454-0

Building an accurate representation of firm-wide credit exposure, used for both trading and risk management, raises significant theoretical and technical challenges. This volume can be considered as a roadmap to finding practical solutions to the problem of modelling, pricing, and hedging counterpar...

Table of Contents:

• Preface
• Glossary
• Abbreviations and Notation
• Part I: Methodology
• 1.Introduction
• 2.Modelling Framework
• 3.Simulation Models
• 4.Valuation and Sensitivities
• Part II: Architecture and Implementation
• 5.Computational Framework
• 6.Implementation
• 7.Architecture
• Part III: Products
• 8.Interest Rate Products
• 9.Equity, Commodity, Inflation and FX Products
• 10.Credit Derivatives
• 11.Hybrids and Structures
• Part IV: Hedging and Managing Counterparty Risk
• 12.Counterparty Risk Aggregation and Risk Mitigation
• 13.Combining Market and Credit Risk
• 14.Pricing Counterparty Credit Risk
• Apendix: Approximations
• References
• Index.