Credit Valuation Adjustment (CVA)

Name: Credit Valuation Adjustment (CVA)
Brand: LAP Lambert Academic Publishing
SKU: 9783659248504
Price: 234.65 RON
Availability: InStock

Theory, Mathematics and Risk Management

Autor: Fred Hoffman

Limbă:

Legare: Carte broșată

Editura: LAP Lambert Academic Publishing

Disponibilitate: În depozitul extern

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234.65 lei

Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on...

Informații despre carte

Autor

Fred Hoffman

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2012

Pagini

EAN

9783659248504

Enbook ID

06961810

Editura

LAP Lambert Academic Publishing

Greutate

Dimensiuni

149 x 222 x 10

Descriere completă

Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This book outlines the main approaches to credit risk modelling, intensity and structural. It gives important examples of both and particular examples useful in the calculation of CVA, the intensity model of Brigo and the structural model of Hull and White. It details Brigo s market standard, model independent, framework for derivatives valuation with CVA. It does this for both its unilateral form where only one counterparty is credit risky and also for its bilateral form where both counterparties are credit risky. This book then shows how these frameworks can be applied to the valuation of a credit default swap contract (CDS) and compares their ability to capture correlation effects.

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Credit Valuation Adjustment (CVA)

Theory, Mathematics and Risk Management

Informații despre carte

Descriere completă

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