rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Counterparty credit risk, collateral and funding
    sub title: with pricing cases for all asset classes
  name:
    name part: Brigo, Damiano
    name part: 1966-
    role:
      role term: creator
  name:
    name part: Morini, Massimo.
  name:
    name part: Pallavicini, Andrea.
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: enk
    date issued: 2013
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource.
  abstract: The book's content is focused 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 however also looks at quite practical problems, linking particular models to particular 'concrete' financial situations across asset classes, incl.
  table of contents: Counterparty Credit Risk, Collateral and Funding; Contents; Ignition; Abbreviations and Notation; PART I COUNTERPARTY CREDIT RISK, COLLATERAL AND FUNDING; 1 Introduction; 1.1 A Dialogue on CVA; 1.2 Risk Measurement: Credit VaR; 1.3 Exposure, CE, PFE, EPE, EE, EAD; 1.4 Exposure and Credit VaR; 1.5 Interlude: P and Q; 1.6 Basel; 1.7 CVA and Model Dependence; 1.8 Input and Data Issues on CVA; 1.9 Emerging Asset Classes: Longevity Risk; 1.10 CVA and Wrong Way Risk; 1.11 Basel III: VaR of CVA and Wrong Way Risk; 1.12 Discrepancies in CVA Valuation: Model Risk and Payoff Risk.
  table of contents: 1.13 Bilateral Counterparty Risk: CVA and DVA1.14 First-to-Default in CVA and DVA; 1.15 DVA Mark-to-Market and DVA Hedging; 1.16 Impact of Close-Out in CVA and DVA; 1.17 Close-Out Contagion; 1.18 Collateral Modelling in CVA and DVA; 1.19 Re-Hypothecation; 1.20 Netting; 1.21 Funding; 1.22 Hedging Counterparty Risk: CCDS; 1.23 Restructuring Counterparty Risk: CVA-CDOs and Margin Lending; 2 Context; 2.1 Definition of Default: Six Basic Cases; 2.2 Definition of Exposures; 2.3 Definition of Credit Valuation Adjustment (CVA); 2.4 Counterparty Risk Mitigants: Netting.
  table of contents: 2.5 Counterparty Risk Mitigants: Collateral2.5.1 The Credit Support Annex (CSA); 2.5.2 The ISDA Proposal for a New Standard CSA; 2.5.3 Collateral Effectiveness as a Mitigant; 2.6 Funding; 2.6.1 A First Attack on Funding Cost Modelling; 2.6.2 The General Funding Theory and its Recursive Nature; 2.7 Value at Risk (VaR) and Expected Shortfall (ES) of CVA; 2.8 The Dilemma of Regulators and Basel III; 3 Modelling the Counterparty Default; 3.1 Firm Value (or Structural) Models; 3.1.1 The Geometric Brownian Assumption; 3.1.2 Merton's Model; 3.1.3 Black and Cox's (1976) Model.
  table of contents: 3.1.4 Credit Default Swaps and Default Probabilities3.1.5 Black and Cox (B & C) Model Calibration to CDS: Problems; 3.1.6 The AT1P Model; 3.1.7 A Case Study with AT1P: Lehman Brothers Default History; 3.1.8 Comments; 3.1.9 SBTV Model; 3.1.10 A Case Study with SBTV: Lehman Brothers Default History; 3.1.11 Comments; 3.2 Firm Value Models: Hints at the Multiname Picture; 3.3 Reduced Form (Intensity) Models; 3.3.1 CDS Calibration and Intensity Models; 3.3.2 A Simpler Formula for Calibrating Intensity to a Single CDS; 3.3.3 Stochastic Intensity: The CIR Family.
  table of contents: 3.3.4 The Cox-Ingersoll-Ross Model (CIR) Short-Rate Model for r3.3.5 Time-Inhomogeneous Case: CIR++ Model; 3.3.6 Stochastic Diffusion Intensity is Not Enough: Adding Jumps. The JCIR(++) Model; 3.3.7 The Jump-Diffusion CIR Model (JCIR); 3.3.8 Market Incompleteness and Default Unpredictability; 3.3.9 Further Models; 3.4 Intensity Models: The Multiname Picture; 3.4.1 Choice of Variables for the Dependence Structure; 3.4.2 Firm Value Models?; 3.4.3 Copula Functions; 3.4.4 Copula Calibration, CDOs and Criticism of Copula Functions; PART II PRICING COUNTERPARTY RISK: UNILATERAL CVA.
  note: Damiano Brigo, Massimo Morini, Andrea Pallavicini.
  note: Includes bibliographical references and index.
  note: English.
  subject:
    topic: Finance
    topic: Mathematical models
  subject:
    topic: Credit
    topic: Mathematical models
  subject:
    topic: Credit derivatives
    topic: Mathematical models
  subject:
    topic: Financial risk
    topic: Mathematical models
  classification: HG106 .B75 2013
  classification: 332.701/5195
  related item:
    title info:
      title: Counterparty credit risk, collateral and funding
    name:
      name part: Brigo, Damiano, 1966-
    origin info:
      publisher: Chichester, West Sussex : John Wiley & Sons Inc., 2013
    identifier: (DLC) 2012051762
  related item:
    title info:
      title: Wiley finance series
  identifier: 9780470661673
  identifier: 0470661674
  identifier: 9780470661789
  identifier: 047066178X
  identifier: 9780470662496
  identifier: 0470662492
  identifier: 047074846X
  identifier: 9780470748466
  identifier: 9781299315891
  identifier: 1299315895
  identifier: 9781118818589
  identifier: 111881858X
  identifier: 2013001506
  identifier: 462839 MIL
  identifier: 50230E72-6862-4255-A264-AE27D3BE6F9B OverDrive, Inc.
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: DLC
    record creation date: 130111
    record change date: 20260215000457.8
    record identifier: in00005689964
    language of cataloging:
      language term: eng