Brigo / Morini / Pallavicini Counterparty Credit Risk, Collateral and Funding

With Pricing Cases For All Asset Classes
1. Auflage 2013
ISBN: 978-0-470-66178-9
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 464 Seiten, E-Book

Reihe: Wiley Finance Series

The book's content is focused on rigorous and advancedquantitative methods for the pricing and hedging of counterpartycredit and funding risk. The new general theory that is requiredfor this methodology is developed from scratch, leading to aconsistent and comprehensive framework for counterparty credit andfunding risk, inclusive of collateral, netting rules, possibledebit valuation adjustments, re-hypothecation and closeout rules.The book however also looks at quite practical problems, linkingparticular models to particular 'concrete' financialsituations across asset classes, including interest rates, FX,commodities, equity, credit itself, and the emerging asset class oflongevity.
The authors also aim to help quantitative analysts, traders, andanyone else needing to frame and price counterparty creditand funding risk, to develop a 'feel' for applyingsophisticated mathematics and stochastic calculus to solvepractical problems.
The main models are illustrated from theoretical formulation tofinal implementation with calibration to market data, alwayskeeping in mind the concrete questions being dealt with. Theauthors stress that each model is suited to different situationsand products, pointing out that there does not exist a single modelwhich is uniformly better than all the others, although theproblems originated by counterparty credit and funding risk pointin the direction of global valuation.
Finally, proposals for restructuring counterparty credit risk,ranging from contingent credit default swaps to margin lending, areconsidered.

Autoren/Hrsg.

Brigo, Damiano

Morini, Massimo

Pallavicini, Andrea

Über Autor(innen)

Professor Damiano Brigo is Chair of Mathematical Financeand co-Head of Group at Imperial College, London. Damiano is alsoDirector of the Capco Research Institute. His previous rolesinclude Gilbart Professor and Head of Group at King's College,Managing Director and Global Head of Quantitative Innovation inFitch, Head of Credit Models in Banca IMI, Fixed Income Professorat Bocconi University in Milan, and Quantitative Analyst at BancaIntesa. He has worked on quantitative analysis of counterpartyrisk, interest rates-, FX-, credit- and equity- derivatives, riskmanagement and structured products, and funding costs andcollateral modelling. Damiano has published 70+ works in topjournals for Mathematical Finance, Systems Theory, Probability andStatistics, with H-index 24 on Scholar, and books for Springer andJohn Wiley & Sons that became field references in stochasticinterest rate and credit modelling. Damiano is Managing Editor ofthe International Journal of Theoretical and AppliedFinance, and has been listed as the most cited author inRisk Magazine in 2006 and 2010. Damiano obtained a Ph.D. instochastic filtering with differential geometry in 1996 from theFree University of Amsterdam, following a BSc in Mathematics withhonours from the University of Padua.
Massimo Morini is Head of Interest Rate and Credit Modelsand Coordinator of Model Research at IMI Bank of Intesa San Paolo.Massimo is also Professor of Fixed Income at Bocconi University andwas a Research Fellow at Cass Business School, City UniversityLondon. He regularly delivers advanced training in London, New Yorkand worldwide. He has led workshops on credit risk and thefinancial crisis at major international conferences. He haspublished papers in journals including Risk Magazine,Mathematical Finance, and the Journal of Derivatives,and is the author of Understanding and Managing Model Risk: APractical Guide for Quants, Traders and Validators. Massimoholds a PhD in Mathematics and an MSc in Economics.
Andrea Pallavicini is Head of Equity, FX and CommodityModels at Banca IMI, where he has the responsibility of numericalalgorithm's design, financial modelling and research activity. Heis also Visiting Professor at the Department of Mathematics of theImperial College London. Previously, he held positions as Head ofFinancial Models at Mediobanca and Head of Financial Engineering atBanca Leonardo, he worked also in aerospace industries andfinancial institutions. He has a Degree in Astrophysics and a Ph.D.in Theoretical and Mathematical Physics from the University ofPavia for his research activity at CERN laboratory in Genève.Over the years he has written books in finance and he publishedseveral academic and practitioner-oriented articles in financialmodelling, theoretical physics and astrophysics on majorpeer-reviewed journals. He teaches regularly at professionaltraining courses and at Master and Ph.D. courses in finance atdifferent Universities and private institutions. His maincontributions in finance concern interest-rate and creditmodelling, counterparty credit risk, and hybrid derivativepricing.