Modelling, Pricing, and Hedging Counterparty Credit Exposure

Kirjan Modelling, Pricing, and Hedging Counterparty Credit Exposure (2010) on kirjoittanut Giovanni Cesari. Kirjan kieli on englanti, ja sen on kustantanut Springer-Verlag Berlin and Heidelberg GmbH Co. K. Kirja on laajuudeltaan 254 sivua ja se on sidottu.

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ? rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of? cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci? c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ? nding the appropriate management structure across Business, Risk, and IT divisions of the ? rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.