Items related to Credit Valuation Adjustment (CVA): Theory, Mathematics...
Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This book outlines the main approaches to credit risk modelling, intensity and structural. It gives important examples of both and particular examples useful in the calculation of CVA, the intensity model of Brigo and the structural model of Hull and White. It details Brigo’s market standard, model independent, framework for derivatives valuation with CVA. It does this for both its unilateral form where only one counterparty is credit risky and also for its bilateral form where both counterparties are credit risky. This book then shows how these frameworks can be applied to the valuation of a credit default swap contract (CDS) and compares their ability to capture correlation effects.
"synopsis" may belong to another edition of this title.
About the Author:
Fred J. R. Hoffman, MSc: Mathematical and Computational Finance at Oxford University. DPhil researcher at the Systems Approaches to Biomedicine Industrial Doctorate Centre (SABS-IDC), Oxford University, working on the development of agent-based models of cancer and its interactions with the immune system.
"About this title" may belong to another edition of this title.
- PublisherLAP LAMBERT Academic Publishing
- Publication date2012
- ISBN 10 3659248509
- ISBN 13 9783659248504
- BindingPaperback
- Number of pages60
Buy New
Learn more about this copy
£ 43.41
Shipping:
£ 19.78
From Germany to U.S.A.
Top Search Results from the AbeBooks Marketplace
Seller Image
Credit Valuation Adjustment (CVA)
Published by
LAP LAMBERT Academic Publishing Okt 2012
(2012)
ISBN 10: 3659248509
ISBN 13: 9783659248504
New
Taschenbuch
Quantity: 2
Seller:
Rating
Book Description Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This book outlines the main approaches to credit risk modelling, intensity and structural. It gives important examples of both and particular examples useful in the calculation of CVA, the intensity model of Brigo and the structural model of Hull and White. It details Brigo s market standard, model independent, framework for derivatives valuation with CVA. It does this for both its unilateral form where only one counterparty is credit risky and also for its bilateral form where both counterparties are credit risky. This book then shows how these frameworks can be applied to the valuation of a credit default swap contract (CDS) and compares their ability to capture correlation effects. 60 pp. Englisch. Seller Inventory # 9783659248504
Buy New
£ 43.41
Convert currency
Seller Image
Credit Valuation Adjustment (CVA) : Theory, Mathematics and Risk Management
Published by
LAP LAMBERT Academic Publishing
(2012)
ISBN 10: 3659248509
ISBN 13: 9783659248504
New
Taschenbuch
Quantity: 1
Seller:
Rating
Book Description Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This book outlines the main approaches to credit risk modelling, intensity and structural. It gives important examples of both and particular examples useful in the calculation of CVA, the intensity model of Brigo and the structural model of Hull and White. It details Brigo s market standard, model independent, framework for derivatives valuation with CVA. It does this for both its unilateral form where only one counterparty is credit risky and also for its bilateral form where both counterparties are credit risky. This book then shows how these frameworks can be applied to the valuation of a credit default swap contract (CDS) and compares their ability to capture correlation effects. Seller Inventory # 9783659248504
Buy New
£ 43.41
Convert currency
Seller Image
Credit Valuation Adjustment (CVA)
Published by
LAP LAMBERT Academic Publishing
(2012)
ISBN 10: 3659248509
ISBN 13: 9783659248504
New
Kartoniert / Broschiert
Quantity: > 20
Seller:
Rating
Book Description Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Hoffman FredFred J. R. Hoffman, MSc: Mathematical and Computational Finance at Oxford University. DPhil researcher at the Systems Approaches to Biomedicine Industrial Doctorate Centre (SABS-IDC), Oxford University, working on the dev. Seller Inventory # 5142916
Buy New
£ 36.36
Convert currency