Counterparty Credit Risk Modelling - Risk Books
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Counterparty Credit Risk Modelling

Edited By Michael Pykhtin & Leif B. G. Andersen


To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry’s most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.

Publish date: 1 Dec 2005

Availability: In stock


Book description

This book brings you developments and innovations in modelling counterparty risk.

There is a detailed and topical analysis of the Basel Committee’s regulatory capital rules for counterparty credit risk and the underlying models - and explains the changes Basel II will brought.

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.

Book details

Publish date
1 Dec 2005
155mm x 235mm

Editor biography

Michael Pykhtin & Leif B. G. Andersen

Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005); he is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine's Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.


Leif B. G. Andersen 

Global Head of The Quantitative Strategies Group, Bank of America Merrill Lynch

Leif B. G. Andersen is the Global Head of The Quantitative Strategies Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and at CMU’s Tepper School of Business.  He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School.  He was the co-recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Awards, and has worked for more than 25 years as a quantitative researcher in the global markets area. He has authored influential research papers and books in all areas of quantitative finance, including the 3-volume textbook Interest rate Modeling (co-authored with Vladimir Piterbarg). He is an Associate Editor of the Journal of Computational Finance.

Table of contents


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


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


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


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

Customer Reviews

Average customer reviews for Counterparty Credit Risk Modelling

Good book on counterparty risk

This books covers the latest in counterparty risk in an elegant manner. Being part of a multilateral institution, this boook came in handy. A word of caution, though: while this book is no doubt a wonderful find, it may not be very useful for the novice in counterparty risk.
Review by Y. Wong , 11/11/2013

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