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Counterparty Credit Risk, Collateral, Funding and Capital: With Valuation Across Asset Classes, 2nd Edition

Counterparty Credit Risk, Collateral, Funding and Capital: With Valuation Across Asset Classes, 2nd Edition

Damiano Brigo

ISBN: 978-1-119-18089-0

Aug 2017

416 pages

Description

Authoritative guidance toward technical and quantitative solutions to complex valuation problems

Counterparty Credit Risk, Collateral, and Funding, Second Edition is a unique financial guide, providing a much-needed reference for the technical details that other books leave out. Illustrating an in-depth quantitative approach to analyzing counterparty credit risk, funding costs, and valuation adjustments, this book helps practitioners apply sophisticated mathematical solutions to real-world problems. Quantitative models and methods are linked to concrete solutions in order to demonstrate that no single model is uniformly superior or universally applied. Each model is demonstrated step by step with emphasis on the question being examined. Designed to address the practical applications of the frameworks discussed, this book is invaluable for analysts and risk managers seeking useful solutions and more robust protection against counterparty risk and trading costs.

Counterparty credit risk is one of the main elements causing banks to fail, and affects all aspects of business. This book provides comprehensive, expert guidance on quantitative methods for tackling complex valuation problems.

  • Apply sound theoretical frameworks to pricing and hedging
  • Link specific models to specific real-world situations
  • Solve practical problems using sophisticated math and stochastic calculus
  • Understand the technical details from formulation to implementation

Issues of funding costs, collateral, and capital valuation have been on the industry forefront post-crisis, and remain the center of banks' agendas today. The solution is a consistent, comprehensive, inclusive framework, with practical attention to model application across asset classes. Counterparty Credit Risk, Collateral, and Funding, Second Edition provides the invaluable technical guidance and practical insight that makes more accurate valuation possible.