Vor Ort
Merkzettel Warenkorb
Produktbild: Modern Derivatives Pricing and Credit Exposure Analysis
- 12%

Modern Derivatives Pricing and Credit Exposure Analysis Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting

Aus der Reihe Applied Quantitative Finance
12% sparen

93,99 € UVP 106,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Verkaufsrang

48076

Einband

Gebundene Ausgabe

Erscheinungsdatum

21.10.2015

Verlag

Palgrave Macmillan UK

Seitenzahl

466

Maße (L/B/H)

24,1/15,9/4 cm

Gewicht

916 g

Auflage

1st ed. 2015

Sprache

Englisch

ISBN

978-1-137-49483-2

Beschreibung

Rezension

'The authors are established practitioners with many years of quant development and implementation experience in leading financial institutions. This is well reflected in the present book, rich with useful examples and covering highly relevant topics such as (among many others) real world RFE models and backtesting, normally left out by the main-stream financial literature.'


-Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse; Visiting Lecturer, ETH Zurich and Bocconi University Milan


"The authors have achieved a matchless combination of theoretical and most importantly, practical expertise to this book. The work is complete, insightful and exact and is suitable for all professionals dealing with XVA expert and novice alike."


-Jörg Kienitz, Director and Co-Lead Quant Unit and Adjunct Associate Professor University of Cape Town


'Modern Derivatives Pricing and Credit Exposure Analysis by Lichters, Stamm and Gallagher (with whom I have collaborated) has unique strengths. There are three chapters developing discounting from a CCP point of view, a global view and a CSA-based view. There is a fully worked out multi-asset framework based on the Linear Gaussian Model (LGM) with particular depth on inflation with both Jarrow-Yildrim and Dodgson-Kainth models. It provides a forensically detailed analysis of credit processes, mapping their limitations and highlights directions that avoid them (developed in detail from thePeng-Kou approach). The XVA coverage starts with CVA/DVA and is followed by separate chapters on FVA and KVA. The usual limitations for such a comprehensive book are present, e.g. limited treatment of smile modelling in a multi-curve setup (worth a book by itself), and limited coverage of the trade-offs in XVA between the costs of hedging risks and the (capital and modelling) costs of open risks (often forced by credit market limitations). Overall, this is a thorough and practical introduction to modern derivatives pricing."


-Chris Kenyon, front office quant; author of 10 papers in the Cutting Edge section in Risk

Produktdetails

Verkaufsrang

48076

Einband

Gebundene Ausgabe

Erscheinungsdatum

21.10.2015

Verlag

Palgrave Macmillan UK

Seitenzahl

466

Maße (L/B/H)

24,1/15,9/4 cm

Gewicht

916 g

Auflage

1st ed. 2015

Sprache

Englisch

ISBN

978-1-137-49483-2

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

Kundinnen und Kunden meinen

0 Bewertungen

Informationen zu Bewertungen

Zur Abgabe einer Bewertung ist eine Anmeldung im Konto notwendig. Die Authentizität der Bewertungen wird von uns nicht überprüft. Wir behalten uns vor, Bewertungstexte, die unseren Richtlinien widersprechen, entsprechend zu kürzen oder zu löschen.

Die Bewertungen sind nach Format, Anzahl Sterne und Datum sortiert.

Verfassen Sie die erste Bewertung zu diesem Artikel

Helfen Sie anderen Kund*innen durch Ihre Meinung

Kundinnen und Kunden meinen

0 Bewertungen filtern
  • Produktbild: Modern Derivatives Pricing and Credit Exposure Analysis
  • Contents
    Preface
    Acknowledgments
    PART I: DISCOUNTING
    1. Discounting Before the Crisis
    1.1 The Risk-Free Rate
    1.2 Pricing Linear Instruments
    1.2.1 Forward Rate Agreements
    1.2.2 Interest Rate Swaps
    1.2.3 FX Forwards
    1.2.4 Tenor Basis Swaps
    1.2.5 Cross-Currency Basis Swaps
    1.3 Curve Building
    1.4 Pricing Non-Linear Instruments
    1.4.1 Caps and Floors
    1.4.2 Swaptions
    2 What ChangedWith the Crisis
    2.1 Basis Products and Spreads
    2.1.1 Tenor Basis Swaps
    2.1.2 Cross-Currency Basis Swaps
    2.2 Collateralization
    3 Clearing House Pricing
    3.1 Introduction of Central Counterparties
    3.2 Margin Requirements
    3.3 Building the OIS Curve
    3.4 USD Specialties
    3.5 Building the Forward Projection Curves
    3.6 More USD Specialties
    3.7 Example: Implying the Par Asset Swap Spread
    3.8 Interpolation
    3.9 Pricing Non-Linear Instruments
    3.9.1 European Swaptions
    3.9.2 Bermudan Swaptions
    3.10 Not All Currencies Are Equal
    4 Global Discounting
    4.1 Collateralization In a Foreign Currency
    4.2 Non-Rebalancing Cross-Currency Swaps
    4.3 Rebalancing Cross-Currency Swaps
    4.4 Examples: Approximations of Basis Spreads
    4.4.1 Tenor Basis Spreads
    4.4.2 Flat Cross-Currency Swaps
    4.4.3 OIS Cross-Currency Basis Spread
    4.4.4 LIBOR Cross-Currency Basis Spread
    5 CSA Discounting
    5.1 ISDA Agreements and CSA Complexities
    5.2 Currency Options
    5.3 Negative Overnight Rates
    5.4 Other Assets as Collateral
    5.5 Thresholds and Asymmetries
    5.6 Some Thoughts on Initial Margin
    6 Fair Value Hedge Accounting
    6.1 Introduction
    6.2 Hedge Effectiveness
    6.3 Single-Curve Valuation
    6.4 Multi-Curve Valuation
    PART II: CREDIT AND DEBIT VALUE ADJUSTMENT
    7 Introduction
    8 Fundamentals
    8.1 Unilateral CVA
    8.2 Bilateral CVA
    9 Single Trade CVA
    9.1 Interest Rate Swap
    9.1.1 Exercise within interest periods
    9.1.2 Amortizing Swap
    9.1.3 A Simple Swap CVA Model
    9.2 Cash-Settled European Options
    9.3 FX Forward
    9.4 Cross-Currency Swap
    9.5 Rebalancing Cross-Currency Swap
    PART III: RISK FACTOR EVOLUTION
    10 A Monte Carlo Framework
    11 Interest Rates
    11.1 Linear Gauss Markov Model
    11.1.1 Multiple Curves
    11.1.2 Invariances
    11.1.3 Relation to the Hull-White model in T-Forward Measure
    11.2 Products
    11.2.1 Zero Bond Option
    11.2.2 European Swaption
    11.2.3 Bermudan Swaption with Deterministic Basis
    11.2.4 Stochastic Basis
    11.3 CSA Discounting Revisited
    11.4 Exposure Evolution Examples
    12 Foreign Exchange
    12.1 Cross-Currency LGM
    12.2 Multi-Currency LGM
    12.3 Calibration
    12.3.1 Interest Rate Processes
    12.3.2 FX Processes
    12.3.3 Correlations
    12.4 Cross-Currency Basis
    12.5 Exposure Evolution Examples
    13 Inflation
    13.1 Products
    13.2 Jarrow-Yildirim Model
    13.2.1 Calibration
    13.2.2 Foreign Currency Inflation
    13.3 Dodgson-Kainth Model
    13.3.1 Calibration
    13.3.2 Foreign Currency Inflation
    13.4 Seasonality
    13.5 Exposure Evolution Examples
    14 Equity and Commodity
    14.1 Equity
    14.2 Commodity
    15 Credit
    15.1 Market
    15.2 Gaussian Model
    15.2.1 Conclusion
    15.3 Cox-Ingersoll-Ross Model
    15.3.1 CIR without Jumps
    15.3.2 Relaxed Feller Constraint
    15.3.3 CDS Spread Distribution
    15.3.4 CIR with Jumps: JCIR
    15.3.5 JCIR Extension
    15.3.6 Examples: CDS CVA and Wrong-Way Risk
    15.3.7 Conclusion
    15.4 Black-Karasinski Model
    15.5 Peng-Kou Model
    15.5.1 Review CDS and CDS Option
    15.5.2 Compound Poisson Process
    15.5.3 Compound Polya Process
    15.5.4 Examples
    15.5.5 Conclusion
    PART IV: XVA 251
    16 Cross-Asset Scenario Generation
    16.1 Expectations and Covariances
    16.2 Path Generation
    16.3 Pseudo Random vs Low Discrepancy Sequences
    16.4 Long-Term Interest Rate Simulation
    17 Netting and Collateral
    17.1 Netting
    17.1.1 Non-netted Counterparty Exposures
    17.1.2 Netting Set Exposures
    17.1.3 Generalized Counterparty Exposures
    17.2 Collateralization
    17.2.1 Collateralized Netting Set Exposure
    17.2.2 CSA Margining
    17.2.3 Margin Settlement
    17.2.4 Interest Accrual
    17.2.5 FX Risk
    17.2.6 Collateral Choice
    18 Early Exercise and American Monte Carlo
    18.1 American Monte Carlo
    18.2 Utilizing American Monte Carlo for CVA
    19 CVA Risk and Algorithmic Differentiation
    19.1 Algorithmic Differentiation
    19.2 AD Basics
    19.3 AD Examples
    19.3.1 Vanilla Swap and Interest Rate Sensitivities
    19.3.2 European Swaptions with Deltas and Vega Cube
    19.4 Further Applications of AD
    20 FVA
    20.1 A Simple Definition of FVA
    20.2 DVA = FBA?
    20.3 The Role of the Spreads
    20.4 The Expectation Approach
    20.5 The Semi-Replication Approach
    20.6 MVA
    20.7 Outlook
    21 KVA 325
    21.1 KVA by Semi-Replication
    21.2 Calculation of KVA
    21.3 Risk-Warehousing and TVA
    PART V: CREDIT RISK
    22 Introduction
    22.1 Fundamentals
    22.2 Portfolio Credit Models
    22.2.1 Independent Defaults
    22.2.2 Static Default Correlation Modelling
    22.2.3 Dynamic Default Correlation Modelling
    22.3 Industry Portfolio Credit Models
    23 Pricing Portfolio Credit Products
    23.1 Introduction
    23.2 Synthetic Portfolio Credit Derivatives
    23.2.1 Nth-to-Default Basket
    23.2.2 Synthetic Collateralized Debt Obligation
    23.2.3 Synthetic CDO2
    23.3 Cashflow Structures
    23.3.1 Introduction
    23.3.2 Cashflow CDO Structures
    23.3.3 Overall Pricing Framework
    23.3.4 Pricing Formulas
    23.4 Example Results
    23.4.1 Test Deal
    23.4.2 Test Results
    23.4.3 Discussion of Results
    24 Credit Risk for Derivatives
    24.1 Introduction
    24.2 Potential Future Exposure
    24.3 Real-World Measure
    24.3.1 Traditional Approach
    24.3.2 Adjusted Risk-Neutral Approach
    24.3.3 Joint Measure Model Approach
    24.4 Standardized Approach, CEM and SA-CCR
    24.4.1 Current Standardized Approach: CEM
    24.4.2 New Standardized Approach: SA-CCR
    24.5 Basel Internal Model Approach
    24.6 Capital Requirements for Centrally Cleared Derivatives
    24.7 CVA Capital Charge
    24.7.1 The Standard Approach
    24.7.2 The IMM Approach
    24.7.3 Mitigation of the CVA Capital Charge
    24.7.4 Basel Exposure Measures
    24.7.5 Exemptions
    25 Backtesting
    25.1 Introduction
    25.2 Backtest Model Framework
    25.2.1 Example: Anderson-Darling Test
    25.3 RFE Backtesting
    25.3.1 Creating the Sample Distance and Sampling Distribution
    25.3.2 Example I: Risk-Neutral LGM
    25.3.3 Example II: Risk-Neutral LGM with Drift Adjustment
    25.4 Portfolio Backtesting
    25.5 Outlook
    PART VI: APPENDIX
    A The Change of Numeraire Toolkit
    B The Feynman-Kac Connection
    C The Black76 Formula
    C.1 The Standard Black76 Formula
    C.2 The Normal Black76 Formula
    D Hull-White Model
    D.1 Summary
    D.2 Bank Account and Forward Measure
    D.3 Cross-Currency Hull-White Model
    E Linear Gauss Markov Model
    E.1 One-Factor
    E.2 Two Factors
    E.3 Cross Currency LGM
    F Dodgson Kainth Model
    F.1 Domestic Currency Inflation
    F.2 Foreign Currency Inflation
    G CIR Model with Jumps
    H Filtration Switching and the PK Model
    Bibliography
    Index