Modelling, Pricing, and Hedging Counterparty Credit Exposure

A Technical Guide

ISBN: 978-3-642-04453-3 (Print) 978-3-642-04454-0 (Online)

Table of contents (14 chapters)

  1. Front Matter

    Pages I-XX

  2. Methodology

    1. Front Matter

      Pages 1-2

    2. No Access

      Book Chapter

      Pages 3-22

      Introduction

    3. No Access

      Book Chapter

      Pages 23-43

      Modelling Framework

    4. No Access

      Book Chapter

      Pages 45-77

      Simulation Models

    5. No Access

      Book Chapter

      Pages 79-98

      Valuation and Sensitivities

  3. Architecture and Implementation

    1. Front Matter

      Pages 99-99

    2. No Access

      Book Chapter

      Pages 101-109

      Computational Framework

    3. No Access

      Book Chapter

      Pages 111-133

      Implementation

    4. No Access

      Book Chapter

      Pages 135-145

      Architecture

  4. Products

    1. Front Matter

      Pages 147-147

    2. No Access

      Book Chapter

      Pages 149-157

      Interest-Rate Products

    3. No Access

      Book Chapter

      Pages 159-169

      Equity, Commodity, Inflation and FX Products

    4. No Access

      Book Chapter

      Pages 171-174

      Credit Derivatives

    5. No Access

      Book Chapter

      Pages 175-180

      Structures

  5. Hedging and Managing Counterparty Risk

    1. Front Matter

      Pages 181-181

    2. No Access

      Book Chapter

      Pages 183-199

      Counterparty Risk Aggregation and Risk Mitigation

    3. No Access

      Book Chapter

      Pages 201-213

      Combining Market and Credit Risk

    4. No Access

      Book Chapter

      Pages 215-229

      Pricing Counterparty Credit Risk

  6. Back Matter

    Pages 231-254