European University Institute Library

Counterparty risk management, edited by Eduardo Canabarro and Michael Pykhtin

eng

Includes bibliographical references and index

illustrations

index present

non fiction

Counterparty risk management

bibliography

882296658

edited by Eduardo Canabarro and Michael Pykhtin

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.--, Provided by publisher

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