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Counterparty Risk Management: Measurement, Pricing and Regulation
Discipline: Credit, Regulation
First published:
ISBN: 9781782722571
Joining forces to update their respective bestsellers Counterparty Credit Risk and Counterparty Credit Risk Modelling, editors Eduardo Canabarro and Michael Pykhtin have assembled a team of experts to provide a comprehensive and contextualized understanding of the current status and key issues in counterparty risk management in the wake of the financial crisis.
Michael is the well deserved recipient of Risk Magazine’s Quant of the Year award for 2014.
Contents
The Basel III Enhancements to Counterparty Risk Capital Charges
The Regulation of Counterparty Risk in Over-the-Counter Derivatives Markets
The Non-Internal Model Method for Counterparty Credit Risk
On Credit Valuation Adjustments and Regulatory Capital
American Monte Carlo: A Practitioner Approach
Best Market Practice for Calculation and Reporting of Wrong-Way Risk
Central Counterparty Risk
CVA Risk Management Post-Crisis
Re-Thinking CVA: Valuations, Counterparty Credit Risk and Model Risk
Should Derivatives Dealers Make A Funding Value Adjustment?
Adjoint Algorithmic Differentiation: Real-Time Counterparty Credit Risk Management in Monte Carlo Simulations
Stress Test of Counterparty Risks and Dynamic Hedging of the CVA
Dynamic Stress Testing of Counterparty Default Risk
Collateral: Modelling, Pricing and Optimisation