Credit Valuation Adjustment (CVA)

Name: Credit Valuation Adjustment (CVA)
Brand: LAP Lambert Academic Publishing
SKU: 9783659248504
Price: 183.44 PLN
Availability: InStock

Theory, Mathematics and Risk Management

Autor: Fred Hoffman

Język:

Oprawa: Miękka

Wydawca: LAP Lambert Academic Publishing

Dostępność: Dostępna u dostawcy

Wysyłamy za 8-11 dni

183.44 zł

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

Informacje o książce

Autor

Fred Hoffman

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2012

strony

EAN

9783659248504

Enbook ID

06961810

Wydawca

LAP Lambert Academic Publishing

Waga

Wymiary

149 x 222 x 10

Pełny opis

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

Informacje o książce

Pełny opis

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Klienci, którzy kupili tę książkę, kupili również