Stock Image

Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

Manda, Ion, Lee, Gordon, Filipovic, Zlatko, Charpillon, Niels, Aquilina, John, Cesari, Giovanni

2 ratings by Goodreads
ISBN 10: 3642044530 / ISBN 13: 9783642044533
Published by Springer, 2010
Used Condition: Good Hardcover
From HPB-Dallas (Dallas, TX, U.S.A.)

AbeBooks Seller Since December 4, 2009

Quantity Available: 1

Buy Used
Price: US$ 39.07 Convert Currency
Shipping: US$ 3.99 Within U.S.A. Destination, Rates & Speeds
Add to basket

30 Day Return Policy

About this Item

Item may show signs of shelf wear. Pages may include limited notes and highlighting. Includes supplemental or companion materials if applicable. Access codes may or may not work. Connecting readers since 1972. Customer service is our top priority. Bookseller Inventory # mon0000991567

Ask Seller a Question

Bibliographic Details

Title: Modelling, Pricing, and Hedging Counterparty...

Publisher: Springer

Publication Date: 2010

Binding: Hardcover

Book Condition:Good

About this title

Synopsis:

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.

From the Back Cover:

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 counterparty credit exposure for large portfolios of both vanilla and exotic derivatives, usually traded by large Investment Banks. It is divided into four parts, (I) Methodology, (II) Architecture and Implementation, (III) Products, and (IV) Hedging and Managing Counterparty Risk. Starting from a generic modelling and valuation framework based on American Monte Carlo techniques, it presents a software architecture, which, with its modular design, allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way. An essential part of the design is the definition of a programming language, which allows trade representation based on dynamic modelling features. Several chapters are then devoted to the analysis of credit exposure across all asset classes, namely foreign exchange, interest rate, credit derivatives and equity. Finally it considers how to mitigate and hedge counterparty exposure. The crucial question of dynamic hedging is addressed by constructing a hybrid product, the Contingent-Credit Default Swap.

This volume addresses, from a quantitative perspective, recent developments related to counterparty credit exposure computation. Its unique characteristic is the combination of a rigorous but simple mathematical approach with a practical view of the financial problem at hand.

"...a fantastic book that covers all aspects of credit exposure modelling. Nowhere else can the interested reader find such a comprehensive collection of insights around this topic covering methodology, implementation, products and applications. A "must read" for practitioners and quants working in this space." Jörg Behrens, Fintegral Consulting, CH

"In the aftermath of the credit crunch, nobody will need convincing of the importance of managing counterparty risk. This unique book provides a consistent approach to the subject, taken all the way from underlying concepts to the nuts and bolts of computer architecture. It opens up many avenues for future research and throws down a challenge to the industry at large: any organization whose techniques are not at least as good as the ones described here had better shape up!" Mark Davis, Imperial College London, UK

"...impressive mathematical monograph ... first unified and comprehensive approach to pricing and measuring counterparty credit exposures and, therefore, an essential must-have for all quantitatively oriented credit risk manager, academic researchers, and mathematics students alike ... takes into account a unified approach for modelling the future economic scenarios across all asset classes under risk-neutral measure while generating a theoretic as well as technical framework for calculating credit and debit valuation adjustments ... easily adapted to calculating the price of credit risk ... flexible enough to price complex and hybrid financial derivatives in a completely scenario consistent way. These features make the book an absolutely outstanding and highly recommendable treatise..." Marcus R.W. Martin, Darmstadt University of Applied Sciences, D

"About this title" may belong to another edition of this title.

Store Description

We specialize in used scholarly, technical, and textbooks of all ages.

Visit Seller's Storefront

Terms of Sale:

Seller is Half Price Books, Records, Magazines, Incorporated, a Texas corporation. Its business address is 5803 E. Northwest Hwy., Dallas, TX 75231.
Consumer complaints should be directed to Half Price Books, 3860 La Reunion Pkwy., Dallas, TX 75212. Consumers may also email complaints to servicedfw2@hpb.com or call 800-883-2114.
The name of a company representative who is authorized to resolve complaints concerning books sold through AbeBooks.com is Kent Hedtke at Half Price Books, 3860 La Reuni...

More Information
Shipping Terms:

Orders usually ship within 2 business days. Shipping costs are based on books weighing 3 LB.

List this Seller's Books

Payment Methods
accepted by seller

Visa Mastercard American Express