Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Modelling, Pricing, and Hedging Counterparty Credit Exposure (Record no. 426285)

000 -LEADER
fixed length control field 06685nam a22006375i 4500
020 ## - INTERNATIONAL STANDARD BOOKNUMBER
International Standard Book Number 9783642044540
-- 978-3-642-04454-0
024 7# -
-- 10.1007/978-3-642-04454-0
-- doi
040 ## -
-- ISI Library, Kolkata
050 #4 -
-- HF4999.2-6182
050 #4 -
-- HD28-70
072 #7 -
-- KJ
-- bicssc
072 #7 -
-- BUS042000
-- bisacsh
072 #7 -
-- KJ
-- thema
082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER
Classification number 650
Edition number 23
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Cesari, Giovanni.
Relator code aut
-- http://id.loc.gov/vocabulary/relators/aut
245 10 - TITLE STATEMENT
Title Modelling, Pricing, and Hedging Counterparty Credit Exposure
Medium [electronic resource] :
Remainder of title A Technical Guide /
Statement of responsibility, etc by Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda.
942 ## - ADDED ENTRY ELEMENTS(KOHA)
Koha item type E-BOOKS
100 1# - MAIN ENTRY--PERSONAL NAME
-- author.
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS
Place of production, publication, distribution, manufacture Berlin, Heidelberg :
Name of producer, publisher, distributor, manufacturer Springer Berlin Heidelberg,
Date of production, publication, distribution, manufacture 2009.
300 ## -
-- XX, 254 p. 70 illus.
-- online resource.
336 ## - CONTENT TYPE
Content Type Term text
Content Type Code txt
Source rdacontent
337 ## - MEDIA TYPE
Media Type Term computer
Media Type Code c
Source rdamedia
338 ## - CARRIER TYPE
Carrier Type Term online resource
Carrier Type Code cr
Source rdacarrier
347 ## -
-- text file
-- PDF
-- rda
490 1# -
-- Springer Finance,
-- 1616-0533
505 0# -
-- Methodology -- Modelling Framework -- Simulation Models -- Valuation and Sensitivities -- Architecture and Implementation -- Computational Framework -- Implementation -- Architecture -- Products -- Interest-Rate Products -- Equity, Commodity, Inflation and FX Products -- Credit Derivatives -- Structures -- Hedging and Managing Counterparty Risk -- Counterparty Risk Aggregation and Risk Mitigation -- Combining Market and Credit Risk -- Pricing Counterparty Credit Risk.
520 ## -
-- Building an accurate representation of firm-wide credit exposure, used for both trading and risk management, raises significant theoretical and technical challenges. This volume can be considered as a roadmap to finding practical solutions to the problem of modelling, pricing, and hedging counterparty credit exposure for large portfolios of both vanilla and exotic derivatives, usually traded by large Investment Banks. It is divided into four parts, (I) Methodology, (II) Architecture and Implementation, (III) Products, and (IV) Hedging and Managing Counterparty Risk. Starting from a generic modelling and valuation framework based on American Monte Carlo techniques, it presents a software architecture, which, with its modular design, allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way. An essential part of the design is the definition of a programming language, which allows trade representation based on dynamic modelling features. Several chapters are then devoted to the analysis of credit exposure across all asset classes, namely foreign exchange, interest rate, credit derivatives and equity. Finally it considers how to mitigate and hedge counterparty exposure. The crucial question of dynamic hedging is addressed by constructing a hybrid product, the Contingent-Credit Default Swap. This volume addresses, from a quantitative perspective, recent developments related to counterparty credit exposure computation. Its unique characteristic is the combination of a rigorous but simple mathematical approach with a practical view of the financial problem at hand. "...a fantastic book that covers all aspects of credit exposure modelling. Nowhere else can the interested reader find such a comprehensive collection of insights around this topic covering methodology, implementation, products and applications. A "must read" for practitioners and quants working in this space." Jörg Behrens, Fintegral Consulting, CH "In the aftermath of the credit crunch, nobody will need convincing of the importance of managing counterparty risk. This unique book provides a consistent approach to the subject, taken all the way from underlying concepts to the nuts and bolts of computer architecture. It opens up many avenues for future research and throws down a challenge to the industry at large: any organization whose techniques are not at least as good as the ones described here had better shape up!" Mark Davis, Imperial College London, UK "…impressive mathematical monograph … first unified and comprehensive approach to pricing and measuring counterparty credit exposures and, therefore, an essential must-have for all quantitatively oriented credit risk manager, academic researchers, and mathematics students alike … takes into account a unified approach for modelling the future economic scenarios across all asset classes under risk-neutral measure while generating a theoretic as well as technical framework for calculating credit and debit valuation adjustments … easily adapted to calculating the price of credit risk … flexible enough to price complex and hybrid financial derivatives in a completely scenario consistent way. These features make the book an absolutely outstanding and highly recommendable treatise…" Marcus R.W. Martin, Darmstadt University of Applied Sciences, D.
650 #0 -
-- Business.
650 #0 -
-- Distribution (Probability theory.
650 #0 -
-- Numerical analysis.
650 #0 -
-- Finance.
650 #0 -
-- Statistics.
650 14 -
-- Business and Management, general.
-- http://scigraph.springernature.com/things/product-market-codes/500000
650 24 -
-- Probability Theory and Stochastic Processes.
-- http://scigraph.springernature.com/things/product-market-codes/M27004
650 24 -
-- Numerical Analysis.
-- http://scigraph.springernature.com/things/product-market-codes/M14050
650 24 -
-- Quantitative Finance.
-- http://scigraph.springernature.com/things/product-market-codes/M13062
650 24 -
-- Statistics for Business/Economics/Mathematical Finance/Insurance.
-- http://scigraph.springernature.com/things/product-market-codes/S17010
700 1# -
-- Aquilina, John.
-- author.
-- aut
-- http://id.loc.gov/vocabulary/relators/aut
700 1# -
-- Charpillon, Niels.
-- author.
-- aut
-- http://id.loc.gov/vocabulary/relators/aut
700 1# -
-- Filipovic, Zlatko.
-- author.
-- aut
-- http://id.loc.gov/vocabulary/relators/aut
700 1# -
-- Lee, Gordon.
-- author.
-- aut
-- http://id.loc.gov/vocabulary/relators/aut
700 1# -
-- Manda, Ion.
-- author.
-- aut
-- http://id.loc.gov/vocabulary/relators/aut
710 2# -
-- SpringerLink (Online service)
773 0# -
-- Springer eBooks
776 08 -
-- Printed edition:
-- 9783642044847
776 08 -
-- Printed edition:
-- 9783642262081
776 08 -
-- Printed edition:
-- 9783642044533
830 #0 -
-- Springer Finance,
-- 1616-0533
856 40 -
-- https://doi.org/10.1007/978-3-642-04454-0
912 ## -
-- ZDB-2-SMA
950 ## -
-- Mathematics and Statistics (Springer-11649)

No items available.

Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in


Visitor Counter