Comment :

ISBN 13 : 978-1-906348-34-2

Contents : Contributors : Aaron Brown, Michael Pykhtin, David Rowe, Dan Travers and Phillip Koop, Darren Measures, Lauren Teigland-Hunt, Jon Gregory, Andrew Hollings and Svein Stokke, Shankar Mukherjee, Yi Tang and Andrew Williams, Patrick Chen, Katsuichiro Uchiyama and Guanghua Cao, Gregory Hopper, Dan Rosen and David Saunders, Eduardo Epperlein, Sean Paul Hrabak, Wei Zhu and Alan Smillie, Evan Picoult.

Preface

Section 1: Counterparty risk measurement and management

Ch. 1 Systemic Counterparty Credit Risk
Ch. 2 Collateralized Credit Exposure
Ch. 3 Efficient Derivation of Counterparty Exposure at Default for Trading Book Credit Risk Economic Capital
Ch. 4 Effective Enterprise-wide Collateral Management
Ch. 5 Evolution of the US Legal Framework for Counterparty Risk Mitigation

Section 2: Counterparty risk pricing and hedging

Ch. 6 Pricing and Hedging Counterparty Risk: Lessons Re-Learned?
Ch. 7 The Counterparty Risk of Credit Derivative Products
Ch. 8 Contingent Credit Default Swaps
Ch. 9 Funding Benefit and Funding Cost
Ch.10 Generalized Valuation of Collateralized Derivatives

Section 3: Stress testing of counterparty risk

Ch. 11 Stress Testing and Scenario Analysis: Some Second Generation Approaches
Ch. 12 Computing and Stress Testing Counterparty Credit Risk Capital

Section 4: Backtesting and risk capital of counterparty risk

Ch. 13 Back(testing) to the Future: From Market Risk to Counterparty Credit Risk Models
Ch. 14 Economic Capital on Counterparty Risks

Language : English

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque