Credit Risk: Modeling, Valuation and Hedging

Credit Risk: Modeling, Valuation and Hedging
Title Credit Risk: Modeling, Valuation and Hedging PDF eBook
Author Tomasz R. Bielecki
Publisher Springer Science & Business Media
Pages 517
Release 2013-03-14
Genre Business & Economics
ISBN 3662048213

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The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Credit Risk

Credit Risk
Title Credit Risk PDF eBook
Author
Publisher
Pages
Release 2004
Genre
ISBN

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Modelling, Pricing, and Hedging Counterparty Credit Exposure

Modelling, Pricing, and Hedging Counterparty Credit Exposure
Title Modelling, Pricing, and Hedging Counterparty Credit Exposure PDF eBook
Author Giovanni Cesari
Publisher Springer Science & Business Media
Pages 257
Release 2009-12-06
Genre Business & Economics
ISBN 3642044549

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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.

Credit Risk

Credit Risk
Title Credit Risk PDF eBook
Author Niklas Wagner
Publisher CRC Press
Pages 600
Release 2008-05-28
Genre Business & Economics
ISBN 1584889950

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Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio

Credit Risk Valuation

Credit Risk Valuation
Title Credit Risk Valuation PDF eBook
Author Manuel Ammann
Publisher Springer Science & Business Media
Pages 259
Release 2013-03-09
Genre Business & Economics
ISBN 3662064251

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This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Interest Rate Risk Modeling

Interest Rate Risk Modeling
Title Interest Rate Risk Modeling PDF eBook
Author Sanjay K. Nawalkha
Publisher John Wiley & Sons
Pages 429
Release 2005-05-31
Genre Business & Economics
ISBN 0471737445

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The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

Counterparty Credit Risk, Collateral and Funding

Counterparty Credit Risk, Collateral and Funding
Title Counterparty Credit Risk, Collateral and Funding PDF eBook
Author Damiano Brigo
Publisher John Wiley & Sons
Pages 464
Release 2013-03-05
Genre Business & Economics
ISBN 047066178X

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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.