Business & Economics Books:

Counterparty Credit Risk Modelling

Risk Management Pricing and Regulation

Format

Hardback

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Counterparty Credit Risk Modelling
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Description

This new book brings you up-to-date with the very latest developments and innovations in modelling counterparty risk. It 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. This is a comprehensive reference of lasting value - an essential learning tool for anyone involved with counterparty credit risk.
Release date Australia
December 1st, 2005
Contributor
Edited by Michael Pykhtin
Country of Publication
United Kingdom
Imprint
Risk Books
Pages
399
Dimensions
165x220x25
ISBN-13
9781904339762
Product ID
1753291

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