Modern Financial Engineering Counterparty Credit Portfolio And Systemic Risks

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Modern Financial Engineering: Counterparty, Credit, Portfolio And Systemic Risks

Giuseppe Orlando,Michele Bufalo,Henry Penikas,Concetta Zurlo
Modern Financial Engineering Counterparty Credit Portfolio And Systemic Risks Book PDF

Author : Giuseppe Orlando,Michele Bufalo,Henry Penikas,Concetta Zurlo
Publisher : World Scientific
Page : 434 pages
File Size : 52,9 Mb
Release : 2021-12-28
Category : Science
ISBN : 9789811252372

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Modern Financial Engineering: Counterparty, Credit, Portfolio And Systemic Risks by Giuseppe Orlando,Michele Bufalo,Henry Penikas,Concetta Zurlo Pdf

The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance.Initially the focus is on the modeling of credit risk parameters mainly at the level of individual debtor and transaction, after which the book delves into counterparty credit risk, thus providing the link between credit and market risks. The second part is aimed at the portfolio level when multiple loans are pooled and default correlation becomes an important factor to consider and model. In this respect, the book explains how copulas help in modeling. The final stage is the macro perspective when the combination of credit risks related to financial institutions produces systemic risk and affects overall financial stability.The entire approach is two-dimensional as well. First, all modeling steps have replicable programming codes both in R and Matlab. In this way, the reader can experience the impact of changing the default probabilities of a given borrower or the weights of a sector. Second, at each stage, the book discusses the regulatory environment. This is because, at times, regulation can have stricter constraints than the outcome of internal models. In summary, the book guides the reader in modeling and managing credit risk by providing both the theoretical framework and the empirical tools necessary for a modern finance professional. In this sense, the book is aimed at a wide audience in all fields of study: from quants who want to engage in finance to economists who want to learn about coding and modern financial engineering.

Credit Portfolio Management

Charles Smithson
Credit Portfolio Management Book PDF

Author : Charles Smithson
Publisher : John Wiley & Sons
Page : 354 pages
File Size : 41,6 Mb
Release : 2003-04-07
Category : Business & Economics
ISBN : 9780471465423

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Credit Portfolio Management by Charles Smithson Pdf

A cutting-edge text on credit portfolio management Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the inherent risks of this market has become increasingly important over the years. Credit Portfolio Management provides readers with a complete understanding of the alternative approaches to credit risk measurement and portfolio management. This definitive guide discusses the pricing and managing of credit risks associated with a variety of off-balance-sheet products such as credit default swaps, total return swaps, first-to-default baskets, and credit spread options; as well as on-balance-sheet customized structured products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). Filled with expert insight and advice, this book is a must-read for all credit professionals. Charles W. Smithson, PhD (New York, NY), is the Managing Partner of Rutter Associates and Executive Director of the International Association of Credit Portfolio Managers (IACPM). He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its Third Edition).

Counterparty Credit Risk and Credit Value Adjustment

Jon Gregory
Counterparty Credit Risk and Credit Value Adjustment Book PDF

Author : Jon Gregory
Publisher : John Wiley & Sons
Page : 427 pages
File Size : 45,9 Mb
Release : 2012-09-07
Category : Business & Economics
ISBN : 9781118316665

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Counterparty Credit Risk and Credit Value Adjustment by Jon Gregory Pdf

A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital. Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an unavoidable issue for every financial institution. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. In addition, the book addresses the design and benefits of central clearing, a recent development in attempts to control the rapid growth of counterparty risk. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students.

Systemic Risk

Prasanna Gai
Systemic Risk Book PDF

Author : Prasanna Gai
Publisher : Oxford University Press
Page : 147 pages
File Size : 48,6 Mb
Release : 2013-03-28
Category : Business & Economics
ISBN : 9780199544493

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Systemic Risk by Prasanna Gai Pdf

This book applies some of the lessons from network disciplines - such as ecology, epidemiology, and engineering - to study and measure how small probability events can lead to contagion and banking crises on a global scale.

Credit Risk Management

Jiří Witzany
Credit Risk Management Book PDF

Author : Jiří Witzany
Publisher : Springer
Page : 256 pages
File Size : 40,9 Mb
Release : 2017-02-24
Category : Business & Economics
ISBN : 9783319498003

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Credit Risk Management by Jiří Witzany Pdf

This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.

Systemic Risk: History, Measurement And Regulation

Kreis Yvonne,Leisen Dietmar,Ponce Jorge
Systemic Risk History Measurement And Regulation Book PDF

Author : Kreis Yvonne,Leisen Dietmar,Ponce Jorge
Publisher : World Scientific
Page : 196 pages
File Size : 52,5 Mb
Release : 2019-06-04
Category : Business & Economics
ISBN : 9789811201073

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Systemic Risk: History, Measurement And Regulation by Kreis Yvonne,Leisen Dietmar,Ponce Jorge Pdf

Systemic Risk: History, Measurement and Regulation presents an overview of this emerging form of risk from a global perspective. Systemic risks endanger entire financial systems, not just individual financial institutions. In this volume, the authors review how systemic risk has evolved over the last 40 years across continents to come to the forefront of regulatory attention. They then discuss transmissions channels, provide a review of systemic risk measures, and describe new regulations that have been introduced, as well as the theory and practice of financial stability committees that have been set up internationally. Overall, the book provides a practical guide to understand, identify, assess and control systemic risk.While the financial research on systemic risk has strongly increased since the events of 2008, this book is a first in providing a detailed yet concise overview of the topic, covering the history of systemic risk, its measurement, and its regulation. The authors provide both academic and practitioner-oriented insights, and draw on their different regions of expertise to provide a global perspective on systemic risk.

Fractional Discrete Chaos: Theories, Methods And Applications

Adel Ouannas,Iqbal M Batiha,Viet-thanh Pham
Fractional Discrete Chaos Theories Methods And Applications Book PDF

Author : Adel Ouannas,Iqbal M Batiha,Viet-thanh Pham
Publisher : World Scientific
Page : 218 pages
File Size : 46,7 Mb
Release : 2023-02-13
Category : Science
ISBN : 9789811271229

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Fractional Discrete Chaos: Theories, Methods And Applications by Adel Ouannas,Iqbal M Batiha,Viet-thanh Pham Pdf

In the nineteenth-century, fractional calculus had its origin in extending differentiation and integration operators from the integer-order case to the fractional-order case. Discrete fractional calculus has recently become an important research topic, useful in various science and engineering applications. The first definition of the fractional-order discrete-time/difference operator was introduced in 1974 by Diaz and Osler, where such operator was derived by discretizing the fractional-order continuous-time operator. Successfully, several types of fractional-order difference operators have then been proposed and introduced through further generalizing numerous classical operators, motivating several researchers to publish extensively on a new class of systems, viz the nonlinear fractional-order discrete-time systems (or simply, the fractional-order maps), and their chaotic behaviors. This discovery of chaos in such maps, has led to novel control methods for effectively stabilizing their chaotic dynamics.The aims of this book are as follows:

Nonlinear Dynamics Of Lasers

F Tito Arecchi,Jean-marc Ginoux,Riccardo Meucci
Nonlinear Dynamics Of Lasers Book PDF

Author : F Tito Arecchi,Jean-marc Ginoux,Riccardo Meucci
Publisher : World Scientific
Page : 149 pages
File Size : 50,8 Mb
Release : 2023-02-06
Category : Science
ISBN : 9789811272530

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Nonlinear Dynamics Of Lasers by F Tito Arecchi,Jean-marc Ginoux,Riccardo Meucci Pdf

In the early 1980s, the late luminary Tito Arecchi was the first to highlight the existence of chaos in a laser model. Since then, along with several colleagues, he developed many important lines of research in this field, such as generalized multistability, laser with injected signal, laser with delayed feedback and the worldwide accepted classification of lasers of A, B and C, depending on their typical relaxation rates. Later, chaos control and synchronization were investigated in lasers and other systems, providing innovative schemes. Very recently, in his last contribution to laser physics, the model of the laser with feedback demonstrating its universal features was revisited.This book aims to present the research activity of Prof. Arecchi and his colleagues in the domain of nonlinear dynamics of lasers, since his seminal works of 1982 till the latest. Also included is our last contribution on jerk dynamics of laser's minimal universal model and a brief history of the discovery of laser where the reader will discover or rediscover many anecdotes about it.

Introduction to Credit Risk

Giulio Carlone
Introduction to Credit Risk Book PDF

Author : Giulio Carlone
Publisher : CRC Press
Page : 489 pages
File Size : 51,7 Mb
Release : 2020-11-09
Category : Business & Economics
ISBN : 9781000171457

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Introduction to Credit Risk by Giulio Carlone Pdf

Features Uses an in-depth case study to illustrate multiple factors in counterparty credit risk exposures Suitable for quantitative risk managers at banks, as well as students of finance, financial mathematics, and software engineering Provides the reader with numerous examples and applications

Practical Methods of Financial Engineering and Risk Management

Rupak Chatterjee
Practical Methods of Financial Engineering and Risk Management Book PDF

Author : Rupak Chatterjee
Publisher : Apress
Page : 379 pages
File Size : 40,8 Mb
Release : 2014-09-26
Category : Business & Economics
ISBN : 9781430261346

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Practical Methods of Financial Engineering and Risk Management by Rupak Chatterjee Pdf

Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demonstrate the urgent and abiding need for statistical tools adequate to measure and anticipate the amplitude of potential swings in the financial markets—from ordinary stock price and interest rate moves, to defaults, to those increasingly frequent "rare events" fashionably called black swan events. Yet many on Wall Street continue to rely on standard models based on artificially simplified assumptions that can lead to systematic (and sometimes catastrophic) underestimation of real risks. In Practical Methods of Financial Engineering and Risk Management, Dr. Rupak Chatterjee— former director of the multi-asset quantitative research group at Citi—introduces finance professionals and advanced students to the latest concepts, tools, valuation techniques, and analytic measures being deployed by the more discerning and responsive Wall Street practitioners, on all operational scales from day trading to institutional strategy, to model and analyze more faithfully the real behavior and risk exposure of financial markets in the cold light of the post-2008 realities. Until one masters this modern skill set, one cannot allocate risk capital properly, price and hedge derivative securities realistically, or risk-manage positions from the multiple perspectives of market risk, credit risk, counterparty risk, and systemic risk. The book assumes a working knowledge of calculus, statistics, and Excel, but it teaches techniques from statistical analysis, probability, and stochastic processes sufficient to enable the reader to calibrate probability distributions and create the simulations that are used on Wall Street to valuate various financial instruments correctly, model the risk dimensions of trading strategies, and perform the numerically intensive analysis of risk measures required by various regulatory agencies.

Understanding Systemic Risk in Global Financial Markets

Aron Gottesman,Michael Leibrock
Understanding Systemic Risk in Global Financial Markets Book PDF

Author : Aron Gottesman,Michael Leibrock
Publisher : John Wiley & Sons
Page : 277 pages
File Size : 41,6 Mb
Release : 2017-06-26
Category : Business & Economics
ISBN : 9781119348504

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Understanding Systemic Risk in Global Financial Markets by Aron Gottesman,Michael Leibrock Pdf

An accessible and detailed overview of the risks posed by financial institutions Understanding Systemic Risk in Global Financial Markets offers an accessible yet detailed overview of the risks to financial stability posed by financial institutions designated as systemically important. The types of firms covered are primarily systemically important banks, non-banks, and financial market utilities such as central counterparties. Written by Aron Gottesman and Michael Leibrock, experts on the topic of systemic risk, this vital resource puts the spotlight on coherency, practitioner relevance, conceptual explanations, and practical exposition. Step by step, the authors explore the specific regulations enacted before and after the credit crisis of 2007-2009 to promote financial stability. The text also examines the criteria used by financial regulators to designate firms as systemically important. The quantitative and qualitative methods to measure the ongoing risks posed by systemically important financial institutions are surveyed. A review of the regulations that identify systemically important financial institutions The tools to use to detect early warning indications of default A review of historical systemic events their common causes Techniques to measure interconnectedness Approaches for ranking the order the institutions which pose the greatest degree of default risk to the industry Understanding Systemic Risk in Global Financial Markets offers a must-have guide to the fundamentals of systemic risk and the key critical policies that work to reduce systemic risk and promoting financial stability.

The Financial Times Handbook of Financial Engineering

Lawrence Galitz
The Financial Times Handbook of Financial Engineering Book PDF

Author : Lawrence Galitz
Publisher : Pearson UK
Page : 666 pages
File Size : 42,5 Mb
Release : 2013-06-11
Category : Education
ISBN : 9780273742425

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The Financial Times Handbook of Financial Engineering by Lawrence Galitz Pdf

The Financial Times Handbook of Financial Engineering clearly explains the tools of financial engineering, showing you the formulas behind the tools, illustrating how they are applied, priced and hedged. All applications in this book are illustrated with fully-worked practical examples, and recommended tactics and techniques are tested using recent data.

The xVA Challenge

Jon Gregory
The xVA Challenge Book PDF

Author : Jon Gregory
Publisher : John Wiley & Sons
Page : 498 pages
File Size : 47,9 Mb
Release : 2015-09-22
Category : Business & Economics
ISBN : 9781119109433

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The xVA Challenge by Jon Gregory Pdf

A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management. Market practice around counterparty credit risk and credit and debit value adjustment (CVA and DVA) The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirements The impact of accounting requirements such as IFRS 13 Recent thinking on the applications of funding, collateral, and capital adjustments (FVA, ColVA and KVA) The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of collateral, funding, and capital alongside counterparty risk. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital provides expert perspective and real-world guidance for today's institutions.

Counterparty Credit Risk, Collateral and Funding

Damiano Brigo,Massimo Morini,Andrea Pallavicini
Counterparty Credit Risk Collateral and Funding Book PDF

Author : Damiano Brigo,Massimo Morini,Andrea Pallavicini
Publisher : John Wiley & Sons
Page : 469 pages
File Size : 55,6 Mb
Release : 2013-04-22
Category : Business & Economics
ISBN : 9780470748466

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Counterparty Credit Risk, Collateral and Funding by Damiano Brigo,Massimo Morini,Andrea Pallavicini Pdf

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.

The Credit Risk of Complex Derivatives

E. Banks
The Credit Risk of Complex Derivatives Book PDF

Author : E. Banks
Publisher : Springer
Page : 556 pages
File Size : 44,9 Mb
Release : 2016-01-12
Category : Business & Economics
ISBN : 9781403946096

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The Credit Risk of Complex Derivatives by E. Banks Pdf

Since the publication of the second edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives has gone through a period of dramatic change - in the external operating environment, product and market characteristic and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and expanded. Several new chapters have been added including: * Derivative losses * Risk governance and risk management efforts * Regulatory initiatives and advances * Credit risk portfolio models Aimed at clients, intermediaries and regulators, this edition will be focused clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.