Counterparty risk and funding : a tale of two puzzles /: a tale of two puzzles. (2016)

• Record Type: Book
• Further Information: Note: Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo.
• Authors: Crépey, Stéphane; Bielecki, Tomasz R, 1955-; Brigo, Damiano, 1966-
• Contents: Financial Landscape; A Galilean Dialogue on Counterparty Risk, CVA, DVA, Multiple Curves, Collateral, and Funding; To the Discerning Reader; The First Day; The Second Day; The Third Day; The Fourth Day The Whys of the LOIS; Financial Setup; Indifference Valuation Model; LOIS Formula; Numerical Study Model-Free Developments; Pure Counterparty Risk; Cash Flows; Valuation and Hedging; CSA Specifications Bilateral Counterparty Risk under Funding Constraints; Introduction; Market Model; Trading Strategies; Martingale Pricing Approach; TVA; Example Reduced-Form BSDE Modeling; A Reduced-Form TVA BSDE Approach to Counterparty Risk under Funding Constraints; Introduction; Pre-Default BSDE Modeling; Markov Case The Four Wings of the TVA; Introduction; TVA Representations; CSA Specifications; Clean Valuations; TVA Computations Dynamic Copula Models; Dynamic Gaussian Copula Model; Introduction; Model; Clean Valuation and Hedging of Credit Derivatives; Counterparty Risk Common-Shock Model; Introduction; Model of Default Times; Clean Pricing, Calibration and Hedging; Numerical Results; CVA Pricing and Hedging CVA Computations for one CDS in the Common-Shock Model; Introduction; Generalities; Common-Shock Model with Deterministic Intensities; Numerical Results with Deterministic Intensities; Common-Shock Model with Stochastic Intensities; Numerics CVA Computations for Credit Portfolios in the Common-Shock Model; Portfolio of CDS; CDO Tranches Further Developments; Rating Triggers and Credit Migrations; Introduction; Credit Value Adjustment and Collateralization under Rating Triggers; Markov Copula Approach for Rating-Based Pricing; Applications A Unified Perspective; Introduction; Marked Default Time Reduced-Form Modeling; Dynamic Gaussian Copula TVA Model; Dynamic Marshall-Olkin Copula TVA Model Mathematical Appendix; Stochastic Analysis Prerequisites ; Stochastic Integration; Itô Processes; Jump-Diffusions; Feynman-Kac Formula; Backward Stochastic Differential Equations; Measure Changes and Random Intensity of Jumps; Reduction of Filtration and Hazard Intensity Pre-Default Credit Risk Modeling Markov Consistency and Markov Copulas; Introduction; Consistent Markov Processes; Markov Copulas; Examples Index
• Edition: 1st
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2016
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.6457; Finance -- Mathematical models; Credit -- Mathematical models; Credit derivatives -- Mathematical models; Financial risk -- Mathematical models
• Languages: English
• ISBNs: 9781498785709
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.