Author | Gregory, Jon, Ph. D |
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Title | Counterparty credit risk and credit value adjustment : a continuing challenge for global financial markets / Jon Gregory |
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Imprint |
Hoboken, N.J. : Wiley, 2012 |
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Edition |
2nd ed |
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Descript |
xxii, 457 p. : ill. ; 24 cm. |
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CONTENT
Introduction -- Background -- Defining counterparty credit risk -- Netting, compression, resets and termination features -- Collateral -- Default remote entities and the too big to fail problem -- Central counterparties -- Credit exposure -- Quantifying credit exposure -- Default probability, credit spreads and credit derivatives -- Portfolio counterparty credit risk -- Credit value adjustment -- Default probability , credit spreads and credit derivatives -- Portfolio counterparty credit risk -- Credit value adjustment -- Debt value adjustment -- Funding and valuation -- Wrong-way risk -- Hedging counterparty risk -- Regulation and capital requirements -- Managing CVA-The "CVA Desk" -- The future of counterparty risk
SUBJECT
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Derivative securities -- Mathematical models
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Risk management
LOCATION | CALL# | STATUS |
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Chula Business School Library | 332.6457 G822C 2012 |
CHECK SHELVES
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