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Counterparty Risk and Funding: A Tale of Two Puzzles 【Mobi 格式】 [推广有奖]

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大家开心 发表于 2014-10-30 00:16:42 |显示全部楼层 |坛友微信交流群
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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.

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stphane crpey tomasz r. bielecki damiano brigo-counterparty risk and funding_ a .pdf (7.5 MB)

本帖隐藏的内容

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo-Counterparty Risk and Fundi.zip (15.72 MB, 需要: 10 个论坛币) 本附件包括:
  • Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo-Counterparty Risk and Funding_ A Tale of Two Puzzles.mobi

【Mobi 格式】

Series: Chapman and Hall/CRC Financial Mathematics Series (Book 31)
Hardcover: 388 pages
Publisher: Chapman and Hall/CRC; 1 edition (June 23, 2014)
Language: English
ISBN-10: 1466516453
ISBN-13: 978-1466516458
Product Dimensions: 1 x 7.5 x 10.5 inches
Shipping Weight: 2.2 pounds
http://www.amazon.com/Counterparty-Risk-Funding-Financial-Mathematics/dp/1466516453/ref=sr_1_1?ie=UTF8&qid=1414593631&sr=8-1&keywords=Counterparty+Risk+and+Funding%3A+A+Tale+of+Two+Puzzles
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关键词:counterparty Funding counter Puzzles Puzzle valuation explore dynamic between funding

已有 2 人评分经验 论坛币 学术水平 热心指数 信用等级 收起 理由
wwqqer + 100 + 40 + 1 + 1 + 1 精彩帖子
rrx6658 + 100 + 100 + 1 东西很好,建议低价。

总评分: 经验 + 200  论坛币 + 140  学术水平 + 2  热心指数 + 1  信用等级 + 1   查看全部评分

ypgordon 发表于 2014-10-30 00:20:26 |显示全部楼层 |坛友微信交流群
作者都很牛逼

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ypgordon 发表于 2014-10-30 00:33:12 |显示全部楼层 |坛友微信交流群
其他格式转成PDF的,公式全部被打乱,无法正常阅读

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wenhai66 发表于 2014-10-30 00:49:18 |显示全部楼层 |坛友微信交流群
11111111111111111111

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0jzhang 发表于 2014-10-30 04:52:07 |显示全部楼层 |坛友微信交流群
Counterparty Risk and Funding

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fengyg 企业认证  发表于 2014-10-30 08:49:25 |显示全部楼层 |坛友微信交流群
kankan

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xrxing 发表于 2014-10-30 09:10:11 |显示全部楼层 |坛友微信交流群
公式都乱了,无法正常阅读,不知所云。

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phoennie 发表于 2014-10-30 09:12:37 |显示全部楼层 |坛友微信交流群
Central Counterparties

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cc457921 发表于 2014-10-30 09:12:52 |显示全部楼层 |坛友微信交流群
看一看,谢谢分享。。。

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willl 发表于 2014-10-30 09:13:48 |显示全部楼层 |坛友微信交流群
是什么内容呢?

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