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E-book
Author Crépey, Stéphane, author.

Title Counterparty risk and funding : a tale of two puzzles / Stéphane Crépey and Tomasz R. Bielecki ; with introductory dialouge by Damiano Brigo
Published Boca Raton, FL : CRC Press, [2014]
©2014
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Description 1 online resource (xxi, 355 pages) : illustrations
Series Chapman & Hall/CRC financial mathematics series
Chapman & Hall/CRC financial mathematics series.
Contents Front Cover; Contents; Preface; Introduction; Outline; About the title of the book; Standing Notation, Terminology and Assumptions; Bibliographic Guidelines; Acknowledgements; Part I: Financial Landscape; Chapter 1: A Galilean Dialogue on Counterparty Risk, CVA, DVA, Multiple Curves, Collateral and Funding; Chapter 2: The Whys of the LOIS; Part II: Model-Free Developments; Chapter 3: Pure Counterparty Risk; Chapter 4: Bilateral Counterparty Risk under Funding Constraints; Part III: Reduced-Form BSDE Modeling
Chapter 14: Markov Consistency and Markov CopulasBibliography; Back Cover
Chapter 5: A Reduced-Form TVA BSDE Approach to Counterparty Risk under Funding ConstraintsChapter 6: The Four Wings of the TVA; Part IV: Dynamic Copula Models; Chapter 7: Dynamic Gaussian Copula Model; Chapter 8: Common-Shock Model; Chapter 9: CVA Computations for One CDS in the Common-Shock Model; Chapter 10: CVA Computations for Credit Portfolios in the Common-Shock Model; Part V: Further Developments; Chapter 11: Rating Triggers and Credit Migrations; Chapter 12: A Unified Perspective; Part VI: Mathematical Appendix; Chapter 13: Stochastic Analysis Prerequisites
Summary Financial Landscape A Galilean Dialogue on Counterparty Risk, CVA, DVA, Multiple Curves, Collateral, and Funding To the Discerning Reader The First Day The Second Day The Third Day The Fourth Day The Whys of the LOIS Financial Setup Indifference Valuation Model LOIS Formula Numerical Study Model-Free DevelopmentsPure Counterparty Risk Cash Flows Valuation and Hedging CSA Specifications Bilateral Counterparty Risk under Funding Constraints Introduction Market Model Trading Strategies Martingale Pricing Approach TVA Example Reduced-Form BSDE Modeling A Reduced-Form TVA BSDE Approach to Counterpa
Bibliography Includes bibliographical references (pages 343-355)
Notes Online resource; title from title page (Safari, viewed January 8, 2015)
Subject Credit derivatives -- Mathematical models
Credit -- Mathematical models.
Finance -- Mathematical models.
Financial risk -- Mathematical models
BUSINESS & ECONOMICS -- Finance.
Credit -- Mathematical models.
Finance -- Mathematical models.
Form Electronic book
Author Bielecki, Tomasz R., 1955- author.
Brigo, Damiano, 1966- writer of introduction.
ISBN 1466516461
9781466516465