Coverart for item
The Resource Counterparty risk management, edited by Eduardo Canabarro and Michael Pykhtin

Counterparty risk management, edited by Eduardo Canabarro and Michael Pykhtin

Label
Counterparty risk management
Title
Counterparty risk management
Statement of responsibility
edited by Eduardo Canabarro and Michael Pykhtin
Creator
Contributor
Editor
Subject
Language
eng
Summary
Counterparty risk is a topic which has been elevated to the forefront of the front office, risk management and regulatory agendas following mark-to-market volatility and defaults over the global financial crisis. Universal acknowledgement of credit valuation adjustment (CVA) and debt valuation adjustment as essential components within the fair-value of derivatives and securities financing transactions has reinforced the importance of counterparty risk management across a much broader spectrum of financial services firms.--
Assigning source
Provided by publisher
Cataloging source
CTC
http://library.link/vocab/creatorName
Canabarro, Eduardo
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Pykhtin, Michael
http://library.link/vocab/subjectName
  • Financial risk management
  • Over-the-counter markets
  • Derivative securities
  • Asset-liability management
Label
Counterparty risk management, edited by Eduardo Canabarro and Michael Pykhtin
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Introduction -- I. Regulation -- 1. The Basel III Enhancements to Counterparty Risk Capital Charges / David Lynch -- 2. The Regulation of Counterparty Risk in Over-the-Counter Derivatives Markets / Erik Heitfield and Sean Campbell -- 3. The Non-Internal-Model Method for Counterparty Credit Risk / Michael Pykhtin -- 4. On Credit Valuation Adjustments and Regulatory Capital / Henry Wayne -- II. Exposure Modelling -- 5. American Monte Carlo: A Practitioner Approach / Giovanni Cesari -- 6. Best Market Practice for Calculation and Reporting of Wrong-Way Risk / Jon Gregory , Andrew Aziz, Bob Boetcher and Alex Kreinin -- 7. Central Counterparty Risk / Matthias Arnsdorf -- III. Pricing and Hedging -- 8. CVA Risk Management Post-Crisis David Goulding -- 9. Rethinking CVA: Valuations, Counterparty Credit Risk and Model Risk / Dan Rosen and David Saunders -- 10. Should Derivatives Dealers Make a Funding Value Adjustment? / John Hull and Alan White -- 11. Adjoint Algorithmic Differentiation (AAD): Real Time Counterparty Credit Risk Management in Monte Carlo Simulations / Luca Capriotti and Jacky Lee -- IV. Stress Testing and Collateral -- 12. Stress Test of Counterparty Risks and Dynamic Hedging of the CVA / Eduardo Canabarro -- 13. Dynamic Stress Testing of Counterparty Default Risk / Greg Hopper -- 14. Collateral: Modelling, Pricing and Optimisation / Giovanni Cesari, Zlatko Filipovic and Gordon Lee
Control code
FIEb17668724
Dimensions
24 cm.
Extent
xxii, 331 pages
Isbn
9781782720928
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)882296658
Label
Counterparty risk management, edited by Eduardo Canabarro and Michael Pykhtin
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Introduction -- I. Regulation -- 1. The Basel III Enhancements to Counterparty Risk Capital Charges / David Lynch -- 2. The Regulation of Counterparty Risk in Over-the-Counter Derivatives Markets / Erik Heitfield and Sean Campbell -- 3. The Non-Internal-Model Method for Counterparty Credit Risk / Michael Pykhtin -- 4. On Credit Valuation Adjustments and Regulatory Capital / Henry Wayne -- II. Exposure Modelling -- 5. American Monte Carlo: A Practitioner Approach / Giovanni Cesari -- 6. Best Market Practice for Calculation and Reporting of Wrong-Way Risk / Jon Gregory , Andrew Aziz, Bob Boetcher and Alex Kreinin -- 7. Central Counterparty Risk / Matthias Arnsdorf -- III. Pricing and Hedging -- 8. CVA Risk Management Post-Crisis David Goulding -- 9. Rethinking CVA: Valuations, Counterparty Credit Risk and Model Risk / Dan Rosen and David Saunders -- 10. Should Derivatives Dealers Make a Funding Value Adjustment? / John Hull and Alan White -- 11. Adjoint Algorithmic Differentiation (AAD): Real Time Counterparty Credit Risk Management in Monte Carlo Simulations / Luca Capriotti and Jacky Lee -- IV. Stress Testing and Collateral -- 12. Stress Test of Counterparty Risks and Dynamic Hedging of the CVA / Eduardo Canabarro -- 13. Dynamic Stress Testing of Counterparty Default Risk / Greg Hopper -- 14. Collateral: Modelling, Pricing and Optimisation / Giovanni Cesari, Zlatko Filipovic and Gordon Lee
Control code
FIEb17668724
Dimensions
24 cm.
Extent
xxii, 331 pages
Isbn
9781782720928
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)882296658

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