Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes. This item is unavailable.Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes

The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity.

The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price  counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems.

The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation.

Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

Damiano Brigo (London, UK) is Gilbart professor of financial mathematics at King's college in London.  Previously, he held positions as Managing Director and Global Head of the Quantitative Innovation team at London-based Fitch Solutions and Head of Credit Models at Banca IMI.  He has a Ph.D. in stochastic filtering with differential geometry from the Free University of Amsterdam, following a BSc in Mathematics from the University of Padua.  He is author of the book Interest Rate Models: Theory and Practice for Springer-Verlag. He teaches regularly at post-university and Master courses in Milan and for professional training companies in London. He has been included in scientific committees of international conferences occurring at MIT and other academic and professional institutions. Damiano has been listed as the most cited author in Risk Magazine in 2006 and is Managing Editor of the International Journal of Theoretical and Applied Finance. His current professional interests include default and credit modelling, counterparty risk, interest-rate and smile modelling, commodities and hybrids models and risk measurement.

Massimo Morini (Milan, Italy) is Head of Credit Models and Coordinator of Model Research at IMI Bank, where he is responsible for the development and validation of new models for Interest Rates, Credit, Equity and Hybrids including at times Inflation and FX.  He is also Professor of Fixed Income, Bocconi University.  Previously, he has held positions as Senior Front Office Quantitative Analyst for credit derivatives and Senior Internal consultant for interest rate derivatives and models.  He has served as a consultant for Banco Del Bilbao, Dexia Bank and KPMG, and regularly runs training courses on quantitative finance topics, and speaks on the quant conference circuit.  Massimo holds a PhD in Mathematics and an MSc in Economics and Business with Quantitative finance specialization.

Andrea Pallavicini (Milan, Italy) is Head of Financial Engineering at Banca Leonardo. He has published several academic and practitioner-oriented articles in financial modelling, theoretical physics and astrophysics journals. He has taught in Master courses in finance at the University of Pavia and at the University of Milan.