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 eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Springer Finance
• Subjects: Business.; Management science.; Economics, Mathematical.; Numerical analysis.; Probabilities.; Statistics.; Business and Management.; Business and Management, general.; Probability Theory and Stochastic Processes.; Numerical Analysis.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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:

• Methodology
• Modelling Framework
• Simulation Models
• Valuation and Sensitivities
• Architecture and Implementation
• Computational Framework
• Implementation
• Architecture
• Products
• Interest-Rate Products
• Equity, Commodity, Inflation and FX Products
• Credit Derivatives
• Structures
• Hedging and Managing Counterparty Risk
• Counterparty Risk Aggregation and Risk Mitigation
• Combining Market and Credit Risk
• Pricing Counterparty Credit Risk.