Counterparty Credit Risk And Credit Value Adjustment

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Counterparty Credit Risk

Author : Jon Gregory
Publisher : John Wiley & Sons
ISBN 13 : 0470689994
Total Pages : 449 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Counterparty Credit Risk by : Jon Gregory

Download or read book Counterparty Credit Risk written by Jon Gregory and published by John Wiley & Sons. This book was released on 2011-09-07 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.

Counterparty Credit Risk, Collateral and Funding

Author : Damiano Brigo
Publisher : John Wiley & Sons
ISBN 13 : 047066178X
Total Pages : 464 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Counterparty Credit Risk, Collateral and Funding by : Damiano Brigo

Download or read book Counterparty Credit Risk, Collateral and Funding written by Damiano Brigo and published by John Wiley & Sons. This book was released on 2013-03-05 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

XVA

Author : Andrew Green
Publisher : John Wiley & Sons
ISBN 13 : 1118556763
Total Pages : 548 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis XVA by : Andrew Green

Download or read book XVA written by Andrew Green and published by John Wiley & Sons. This book was released on 2015-10-08 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thorough, accessible coverage of the key issues in XVA XVA – Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry. Explores how XVA models have developed in the aftermath of the credit crisis The only text to focus on the XVA adjustments rather than the broader topic of counterparty risk. Covers regulatory change since the credit crisis including Basel III and the impact regulation has had on the pricing of derivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events, including WBS training, Marcus Evans, ICBI, Infoline and RISK If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge of XVA, this book has you covered.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The xVA Challenge

Author : Jon Gregory
Publisher : John Wiley & Sons
ISBN 13 : 1119109418
Total Pages : 496 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis The xVA Challenge by : Jon Gregory

Download or read book The xVA Challenge written by Jon Gregory and published by John Wiley & Sons. This book was released on 2015-10-26 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management. Market practice around counterparty credit risk and credit and debit value adjustment (CVA and DVA) The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirements The impact of accounting requirements such as IFRS 13 Recent thinking on the applications of funding, collateral, and capital adjustments (FVA, ColVA and KVA) The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of collateral, funding, and capital alongside counterparty risk. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital provides expert perspective and real-world guidance for today's institutions.

Financial Derivatives Pricing: Selected Works Of Robert Jarrow

Author : Robert A Jarrow
Publisher : World Scientific
ISBN 13 : 9814470635
Total Pages : 609 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Financial Derivatives Pricing: Selected Works Of Robert Jarrow by : Robert A Jarrow

Download or read book Financial Derivatives Pricing: Selected Works Of Robert Jarrow written by Robert A Jarrow and published by World Scientific. This book was released on 2008-10-08 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

Recommendations for Central Counterparties

Author : Group of Ten. Committee on Payment and Settlement Systems
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Recommendations for Central Counterparties by : Group of Ten. Committee on Payment and Settlement Systems

Download or read book Recommendations for Central Counterparties written by Group of Ten. Committee on Payment and Settlement Systems and published by . This book was released on 2004 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Counterparty Credit Risk Modelling

Author : Michael Pykhtin
Publisher : Riskbooks
ISBN 13 : 9781904339762
Total Pages : 399 pages
Book Rating : 4.3/5 (397 download)

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Book Synopsis Counterparty Credit Risk Modelling by : Michael Pykhtin

Download or read book Counterparty Credit Risk Modelling written by Michael Pykhtin and published by Riskbooks. This book was released on 2005-01 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry's most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott by : Samuel N Cohen

Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Counterparty Risk and Funding

Author : Stéphane Crépey
Publisher : CRC Press
ISBN 13 : 1498785700
Total Pages : 390 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Counterparty Risk and Funding by : Stéphane Crépey

Download or read book Counterparty Risk and Funding written by Stéphane Crépey and published by CRC Press. This book was released on 2014-06-23 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.

The XVA of Financial Derivatives: CVA, DVA and FVA Explained

Author : Dongsheng Lu
Publisher : Springer
ISBN 13 : 1137435844
Total Pages : 228 pages
Book Rating : 4.1/5 (374 download)

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Book Synopsis The XVA of Financial Derivatives: CVA, DVA and FVA Explained by : Dongsheng Lu

Download or read book The XVA of Financial Derivatives: CVA, DVA and FVA Explained written by Dongsheng Lu and published by Springer. This book was released on 2016-01-01 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's Credit, Funding and Debt value adjustments.

Interest Rate Risk in the Banking Book

Author : PAUL. NEWSON
Publisher :
ISBN 13 : 9781782723257
Total Pages : 255 pages
Book Rating : 4.7/5 (232 download)

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Book Synopsis Interest Rate Risk in the Banking Book by : PAUL. NEWSON

Download or read book Interest Rate Risk in the Banking Book written by PAUL. NEWSON and published by . This book was released on 2017 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Bank Management and Control

Author : Johannes Wernz
Publisher : Springer Science & Business Media
ISBN 13 : 3642403743
Total Pages : 131 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis Bank Management and Control by : Johannes Wernz

Download or read book Bank Management and Control written by Johannes Wernz and published by Springer Science & Business Media. This book was released on 2013-11-08 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: Strategic planning, including the required quantitative methods, is an essential part of bank management and control. In this book capital, risk and yield are treated comprehensively and seamlessly. And a thorough introduction to the advanced methods of risk management for all sectors of banking is discussed. In addition, directly applicable concepts and data such as macroeconomic scenarios for strategic planning and stress testing as well as detailed scenarios for operational risk and advanced concepts for credit risk are presented in straightforward language. The book analyzes the effects of macroeconomic and regulatory developments such as the set of Basel III rules on planning, and it also presents and discusses the consequences for actively meeting these challenges, especially in terms of capital. A wealth of essential background information from practice, international observations and comparisons, along with numerous illustrative examples, make this book a useful resource for established and future professionals in bank management, risk/return management, controlling and accounting.

Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives

Author : Donald J Smith
Publisher : #N/A
ISBN 13 : 981322276X
Total Pages : 226 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives by : Donald J Smith

Download or read book Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives written by Donald J Smith and published by #N/A. This book was released on 2017-07-20 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end users of the valuations, for example, accountants, auditors, and analysts. The book, which is essentially a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.

Modelling, Pricing, and Hedging Counterparty Credit Exposure

Author : Giovanni Cesari
Publisher : Springer Science & Business Media
ISBN 13 : 3642044549
Total Pages : 257 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Modelling, Pricing, and Hedging Counterparty Credit Exposure by : Giovanni Cesari

Download or read book Modelling, Pricing, and Hedging Counterparty Credit Exposure written by Giovanni Cesari and published by Springer Science & Business Media. This book was released on 2009-12-06 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Handbook of Financial Risk Management

Author : Thierry Roncalli
Publisher : CRC Press
ISBN 13 : 1351385224
Total Pages : 1430 pages
Book Rating : 4.3/5 (513 download)

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Book Synopsis Handbook of Financial Risk Management by : Thierry Roncalli

Download or read book Handbook of Financial Risk Management written by Thierry Roncalli and published by CRC Press. This book was released on 2020-04-23 with total page 1430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

Final Basel III Modelling

Author : Ioannis Akkizidis
Publisher : Palgrave Macmillan
ISBN 13 : 9783319704241
Total Pages : 321 pages
Book Rating : 4.7/5 (42 download)

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Book Synopsis Final Basel III Modelling by : Ioannis Akkizidis

Download or read book Final Basel III Modelling written by Ioannis Akkizidis and published by Palgrave Macmillan. This book was released on 2018-07-17 with total page 321 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a concise and practical guidance on the implementation analysis of the new revised standards of the Basel Committee on Banking Supervision (BCBS) on the supervision of the international banking system. Based on publicly available data on default rates and realised loss-given-default rates, it provides an analysis of credit and market risk, assessing the extent to which the new framework on risk-based and leverage ratio requirements affects the modelling of banking risks. Moreover, it provides a detailed analysis of the Fundamental Review of the Trading Book (FRTB), which changes the philosophy for the risk valuation and capital requirements of the market risk, and of the latest developments on the credit valuation adjustments (CVA) framework. It also examines the impact of the final calibration of operational risk parameters on the level of capital requirements. It provides an overview of the modelling properties that govern the application of the internal models for credit and market risk, and provides evidence on the overall impact on banks’ cost of funding due to the implementation of Basel reforms as shaped in December 2017. Finally, the book provides practical examples and hands-on applications for assessing the new BCBS framework.