Description: 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.
Price: 43.19 GBP
Location: Hillsdale, NSW
End Time: 2024-12-10T17:22:38.000Z
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EAN: 9780367740061
UPC: 9780367740061
ISBN: 9780367740061
MPN: N/A
Item Length: 25.2 cm
Number of Pages: 388 Pages
Language: English
Publication Name: Counterparty Risk and Funding: a Tale of Two Puzzles
Publisher: Taylor & Francis LTD
Publication Year: 2020
Subject: Economics, Sociology, Mathematics
Item Height: 254 mm
Item Weight: 717 g
Type: Textbook
Author: Tomasz R. Bielecki, Damiano Brigo, Stephane Crepey
Item Width: 178 mm
Format: Paperback
