Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide - ISBN:3642044530

Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide

Date: 12 November 2010, 03:55

Free register and download UseNet downloader, then you can FREE Download from UseNet.

Download without Limit " Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide " from UseNet for FREE!

Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda, "Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide"
S--r | 2010 | ISBN: 3642044530 | 271 pages | PDF | 3,9 MB

The credit crisis that started in 2007, with the collapse of well-established financial institutions and the bankruptcy of many public corporations, has clearly shown the importance for any company entering the derivative business of modelling, pricing, and hedging its counterparty credit exposure.
Building an accurate representation of firm-wide credit exposure, for both risk and trading activities, is a significant challenge from the technical as well as the practical point of view. This volume can be considered as a roadmap to finding practical solutions to the problem of computing counterparty credit exposure for large books of both vanilla and exotic derivatives usually traded by large Investment Banks. It is divided into four parts, (I) Methodology, (II) Architecture and Implementation, (III) Products, and (IV) Hedging and Managing Counterparty Risk.
Starting from a generic modelling and simulation framework based on American Monte Carlo techniques, it presents a software architecture, which, with its modular design, allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way. An essential part of the design is the definition of a programming language, which allows trade representation based on dynamic modelling features. Several chapters are then devoted to the analysis of credit exposure of various products across all asset classes, namely foreign exchange, interest rate, credit derivatives, and equity. Finally it considers how to mitigate and hedge counterparty exposure. The crucial question of dynamic hedging is addressed by constructing a hybrid product, the Contingent-Credit Default Swap.
This volume addresses these and other problems, as well as recent developments related to counterparty credit exposure, from a quantitative perspective. Its unique characteristic is the combination of a rigorous but simple mathematical approach with a practical view of the financial problem at hand.
"...a fantastic book that covers all aspects of credit exposure modelling. Nowhere else can the interested reader find such a comprehensive collection of insights around this topic covering methodology, implementation, products and applications. A "must read" for practitioners and quants working in this space." Jörg Behrens

Download

Download Links:

Download Link (High Speed Download)

Download Link 1 (http://uploading.com/...3642044530Modelling.rar)

Download Link 2 (http://www.filesonic.com/...3642044530Modelling.rar)

Download Link 3 (http://depositfiles.com/...094z1zndw)

Related Articles:
Pricing Exposure Guide Credit Counterparty

DISCLAIMER:

This site does not store Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide on its server. We only index and link to Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide provided by other sites. Please contact the content providers to delete Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide if any and email us, we'll remove relevant links or contents immediately.