SUMMARY

This new book brings you up-to-date with the very latest developments and innovations in modelling counterparty risk.
Offers a detailed and topical analysis of the Basel Committee's new regulatory capital rules for counterparty credit risk and the underlying models - and explains the changes Basel II will bring.
You will learn from authors representing the cream of academia as well as the world's leading financial and regulatory bodies - many of whom actively participated in the consultations between the industry and regulatory agencies on the new Basel II rules.
Topics covered include: modelling collateral agreements, the development of conditional pricing methodology, modelling exposures for credit-sensitive instruments, the development of analytical methods for portfolio credit risk, emergence of expected positive exposure as the foundation for loan equivalent exposure, and the pricing of counterparty risk for credit-sensitive instruments. Additionally, the book reviews already established modelling concepts and methods.
A comprehensive reference of lasting value - an essential learning tool for anyone involved with counterparty credit risk.

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  TABLE OF CONTENTS

SECTION 1: RISK MANAGEMENT AT COUNTERPARTY LEVEL
1 Modelling Stochastic Counterparty Credit Exposures for Derivatives Portfolios
Ben De Prisco, Algorithmics Inc; Dan Rosen, Fields Institute for Research in Mathematical Sciences

2 Measuring Counterparty Credit Exposure to a Margined Counterparty
Michael Gibson, Federal Reserve Board

3 Modelling Collateral for Credit Exposures: a Structural Approach
Didier Cossin and Tomas Hricko, IMD

4 A Conditional Valuation Approach for Path-Dependent Instruments
Dante Lomibao and Steven Zhu, Bank of America

5 Modelling Counterparty Credit Exposure for Credit Default Swaps
Christian Hille, John Ring and Hideki Shimamoto, Nomura International
Risk Management at Portfolio Level

SECTION 2: RISK MANAGEMENT AT PORTFOLIO LEVEL

6 Calculating and Hedging Exposure, Credit Value Adjustment and Economic Capital for Counterparty Credit Risk
Evan Picoult, Citigroup

7 Analytic Methods for Portfolio Counterparty Credit Risk
Tom Wilde, Credit Suisse First Boston

SECTION 3: REGULATORY CAPITAL

8 Analysis of Basel II Treatment of Counterparty Credit Risk
Marcus Fleck and Andreas Schmidt, Dresdner Bank

9 Risk-Sensitive Regulatory Capital Rules for Hedged Credit Exposures
Erik Heitfield, FRB; Steven Burton, FDIC; Souphala Chomsisengphet, OCC
Pricing and Hedging

SECTION 4: PRICING

10 Risk Neutral Pricing of Counterparty Risk
Damiano Brigo and Massimo Masetti, Banca IMI

11 The Pricing Implications of Counterparty Risk for Non-Linear Credit Products
Stuart Turnbull, University of Houston

12 Pricing Counterparty Risk in Unfunded Synthetic CDO Tranches
Dmitry Pugachevsky, Bear Stearns

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  CONTRIBUTORS

Ben De Prisco, Algorithmics Inc; Dan Rosen, Fields Institute for Research in Mathematical Sciences; Michael Gibson, Federal Reserve Board; Didier Cossin, IMD; Tomas Hricko, IMD; Dante Lomibao, Bank of America; Steven Zhu, Bank of America; Christian Hille, Nomura International; Damiano Brigo, Banca IMI; Massimo Masetti, Banca IMI; John Ring, Nomura International; Hideki Shimamoto, Nomura International; Evan Picoult, Citigroup; Tom Wilde, Credit Suisse First Boston; Marcus Fleck, Dresdner Bank; Andreas Schmidt, Dresdner Bank; Erik Heitfield, FRB; Steven Burton, FDIC; Souphala Chomsisengphet, OCC; Stuart Turnbull, University of Houston; Dmitry Pugachevsky, Bear Stearns.
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