Author: United States. Congress. House. Committee on Banking and Financial Services. Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises Publisher: ISBN: Category : Business & Economics Languages : en Pages : 168
Author: United States. Congress. House. Committee on Banking and Financial Services. Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises Publisher: ISBN: Category : Asset-liability management Languages : en Pages : 131
Author: Richard H. Baker Publisher: ISBN: 9780756717216 Category : Languages : en Pages : 131
Book Description
The Counterparty Risk Mgmt. Policy Group (CRMPG) is a group consisting of 12 major commercial and investment banks formed in Jan. of 1999 after the near-collapse of Long-Term Cap. Mgmt. The ultimate mission was to develop standards for strengthening risk mgmt. practices at banks and securities firms, and other dealers to avoid similar difficulties in the future. Witnesses: E. Gerald Corrigan, Managing Director, the Goldman Sachs Group, Inc., Co-chairman, CRMPG; and Stephen Thieke, Managing Director, J.P. Morgan and Company, Co-chairman, CRMPG. Also includes: CRMPG Report: "Improving Counterparty Risk Management", June 1999 (with enclosures).
Author: United States. Congress. House. Committee on Banking and Financial Services. Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises Publisher: ISBN: Category : Business & Economics Languages : en Pages : 136
Author: Michael Pykhtin Publisher: Riskbooks ISBN: 9781904339762 Category : Capital market Languages : en Pages : 399
Book Description
To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry's most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.
Author: Damiano Brigo Publisher: John Wiley & Sons ISBN: 047066178X Category : Business & Economics Languages : en Pages : 464
Book Description
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.
Author: United States. Congress. House. Committee on Banking and Financial Services. Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises
Author: United States. Congress. House. Committee on Banking and Financial Services. Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises
Author: Richard H. Baker
Author: Group of Ten. Committee on Payment and Settlement Systems
Author: United States. Congress. House. Committee on Banking, Finance, and Urban Affairs
Author: United States. Congress. House. Committee on Banking and Financial Services. Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises
Author: Michael Pykhtin
Author: Damiano Brigo
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