Counterparty Credit Risk Modelling

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

ISBN

9781906348526

Publish date

1 Dec 2005

Format

Size

155mm x 235mm

Editor biography

Michael Pykhtin

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