Counterparty Credit Risk by Eduardo Canabarro

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks. The book consists of 14 chapters broken down into four broad areas: · Chapters 1 to 5 cover topics related to counterparty risk measurement and management. It focuses on two very current subjects: systemic counterparty risk and collateralization. · Chapters 6 to 10 cover topics related to the pricing and hedging of counterparty risks and of collateral arrangements. CVAs have caused massive losses to banks during the recent crisis and have motivated some of the recent the Basel Committee's proposals for reforms of the regulatory capital on counterparty risks. The implications of collateral to OTC derivative valuation, funding costs and availability of funding are important current issues that are covered. · Chapters 11 and 12 cover stress testing of counterparty risks. The recent experience made clear that stress tests frameworks need to be expanded and enhanced and some new and promising ideas are described. · Chapters 13 and 14 cover back-testing of counterparty exposure models and the incorporation of counterparty risks into economic and regulatory capital frameworks.

本帖隐藏的内容

Eduardo_Canabarro-Counterparty_Credit_Risk-Risk_Books_(2010).pdf (31.75 MB, 需要: 8 个论坛币)

2014-7-13 05:02:15 上传

Counterparty Credit Risk by Eduardo Canabarro
需要: 8 个论坛币  [购买]

File Size: 31344 KB
Print Length: 353 pages
Publisher: Risk Books (March 30, 2010)

Sold by: Amazon Digital Services, Inc.

Language: English
ASIN: B00HDZJ2G8
http://www.amazon.com/Counterparty-Credit-Risk-Eduardo-Canabarro-ebook/dp/B00HDZJ2G8/ref=sr_1_13?ie=UTF8&qid=1405194187&sr=8-13&keywords=Counterparty+Credit+Risk

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：counterparty credit risk counter Eduardo Credit collection economic relevant content testing

这个系列真是专业

Counterparty Credit Risk by Eduardo Canabarro

thank you for sharing.

thanks for sharing

对手难料

thanks

see..................

下载看看

看看 看看****