Counterparty Credit Risk Modelling

Risk Management Pricing and Regulation

Publication Date	December 2005
Publisher	Risk Books
Product Type	Book
Pages	399
ISBN Number	190433976X
Product Code	RIS00340

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Summary

This new book brings you up-to-date with the very latest developments and innovations in modelling counterparty risk.

Offers a detailed and topical analysis of the Basel Committee's new regulatory capital rules for counterparty credit risk and the underlying models - and explains the changes Basel II will bring.

You will learn from authors representing the cream of academia as well as the world's leading financial and regulatory bodies - many of whom actively participated in the consultations between the industry and regulatory agencies on the new Basel II rules.

Topics covered include: modelling collateral agreements, the development of conditional pricing methodology, modelling exposures for credit-sensitive instruments, the development of analytical methods for portfolio credit risk, emergence of expected positive exposure as the foundation for loan equivalent exposure, and the pricing of counterparty risk for credit-sensitive instruments. Additionally, the book reviews already established modelling concepts and methods.

A comprehensive reference of lasting value - an essential learning tool for anyone involved with counterparty credit risk.

Content

Section 1: Risk Management at Counterparty Level
- 1 Modelling Stochastic Counterparty Credit Exposures for Derivatives Portfolios
  - Ben De Prisco, Algorithmics Inc; Dan Rosen, Fields Institute for Research in Mathematical Sciences
- 2 Measuring Counterparty Credit Exposure to a Margined Counterparty
  - Michael Gibson, Federal Reserve Board
- 3 Modelling Collateral for Credit Exposures: a Structural Approach
  - Didier Cossin and Tomas Hricko, IMD
- 4 A Conditional Valuation Approach for Path-Dependent Instruments
  - Dante Lomibao and Steven Zhu, Bank of America
- 5 Modelling Counterparty Credit Exposure for Credit Default Swaps
  - Christian Hille, John Ring and Hideki Shimamoto, Nomura International
  - Risk Management at Portfolio Level
Section 2: Risk Management at Portfolio Level
- 6 Calculating and Hedging Exposure, Credit Value Adjustment and Economic Capital for Counterparty Credit Risk
  - Evan Picoult, Citigroup
- 7 Analytic Methods for Portfolio Counterparty Credit Risk
  - Tom Wilde, Credit Suisse First Boston
Section 3: Regulatory Capital
- 8 Analysis of Basel II Treatment of Counterparty Credit Risk
  - Marcus Fleck and Andreas Schmidt, Dresdner Bank
- 9 Risk-Sensitive Regulatory Capital Rules for Hedged Credit Exposures
  - Erik Heitfield, FRB; Steven Burton, FDIC; Souphala Chomsisengphet, OCC
  - Pricing and Hedging
Section 4: Pricing
- 10 Risk Neutral Pricing of Counterparty Risk
  - Damiano Brigo and Massimo Masetti, Banca IMI
- 11 The Pricing Implications of Counterparty Risk for Non-Linear Credit Products
  - Stuart Turnbull, University of Houston
- 12 Pricing Counterparty Risk in Unfunded Synthetic CDO Tranches
  - Dmitry Pugachevsky, Bear Stearns