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Index
Lists of Spreadsheets Lists of Appendices Acknowledgements About the Author 1 Introduction 2 The Global Financial Crisis 2.1 Pre-crisis 2.2 The crisis 2.3 Regulatory reform 2.4 Backlash and criticisms 2.5 A new world Notes 3 The OTC Derivatives Market 3.1 The derivatives market 3.2 Derivative risks 3.3 Risk management of derivatives Notes 4 Counterparty Risk 4.1 Background 4.2 Components 4.3 Control and quantification 4.4 Beyond CVA 4.5 Summary Notes 5 Netting, Close-out and Related Aspects 5.1 Introduction 5.2 Default, netting and close-out 5.3 Multilateral netting and trade compression 5.4 Termination features and resets 5.5 Summary Notes 6 Collateral 6.1 Introduction 6.2 Collateral terms 6.3 Mechanics of collateral 6.4 Collateral and funding 6.5 Collateral usage 6.6 The risks of collateral 6.7 Regulatory collateral requirements 6.8 Converting counterparty risk into funding liquidity risk 6.9 Summary Notes 7 Credit Exposure and Funding 7.1 Credit exposure 7.2 Metrics for exposure 7.3 Factors driving exposure 7.4 The impact of netting and collateral on exposure 7.5 Funding, rehypothecation and segregation 7.6 Summary Notes 8 Capital Requirements and Regulation 8.1 Background to Credit Risk Capital 8.2 Current Exposure Method (CEM) 8.3 The Internal Model Method (IMM) 8.4 Standardised Approach for Counterparty Credit Risk (SA-CCR) 8.5 Comparison of EAD Methods 8.6 Basel III 8.7 CVA Capital Charge 8.8 Other Important Regulatory Requirements 8.9 Summary Notes 9 Counterparty Risk Intermediation 9.1 Introduction 9.2 SPVs, DPCs, CDPCs and monolines 9.3 Central counterparties 9.4 Summary Notes 10 Quantifying Credit Exposure 10.1 Introduction 10.2 Methods for quantifying credit exposure 10.3 Monte Carlo methodology 10.4 Real-world or risk-neutral 10.5 Model choice 10.6 Examples 10.7 Allocating exposure 10.8 Summary Notes 11 Exposure and the Impact of Collateral 11.1 Overview 11.2 Margin period of risk 11.3 Numerical examples 11.4 Initial margin 11.5 Summary Notes 12 Default Probabilities, Credit Spreads and Funding Costs 12.1 Overview 12.2 Default probability 12.3 Credit curve mapping 12.4 Generic curve construction 12.5 Funding curves and capital costs 12.6 Summary Notes 13 Discounting and Collateral 13.1 Overview 13.2 Discounting 13.3 Beyond perfect collateralisation 13.4 Collateral valuation adjustments 13.5 Summary Notes 14 Credit and Debt Value Adjustments 14.1 Overview 14.2 Credit value adjustment 14.3 Impact of credit assumptions 14.4 CVA allocation and pricing 14.5 CVA with collateral 14.6 Debt value adjustment 14.7 Summary Notes 15 Funding Value Adjustment 15.1 Funding and derivatives 15.2 Funding value adjustment 15.3 The practical use of FVA 15.4 Summary Notes 16 Margin and Capital Value Adjustments 16.1 Overview 16.2 Margin value adjustment 16.3 Capital value adjustment 16.4 Summary Notes 17 Wrong-way Risk 17.1 Overview 17.2 Overview of wrong-way risk 17.3 Quantification of wrong-way risk 17.4 Wrong-way risk modelling approaches 17.5 Summary Notes 18 xVA Management 18.1 Introduction 18.2 The role of an x VA desk 18.3 Hedging x VA 18.4 xVA systems 18.5 Summary Notes 19 xVA Optimisation 19.1 Overview 19.2 Market practice 19.3 Examples 19.4 Costs and the balance of x VA terms 19.5 x VA optimisation 19.6 Summary Notes 20 The Future Glossary References Index EULA
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