Download or read book Modern Financial Engineering Counterparty Credit Portfolio And Systemic Risks written by Giuseppe Orlando and published by World Scientific. This book was released on 2021-12-28 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance.Initially the focus is on the modeling of credit risk parameters mainly at the level of individual debtor and transaction, after which the book delves into counterparty credit risk, thus providing the link between credit and market risks. The second part is aimed at the portfolio level when multiple loans are pooled and default correlation becomes an important factor to consider and model. In this respect, the book explains how copulas help in modeling. The final stage is the macro perspective when the combination of credit risks related to financial institutions produces systemic risk and affects overall financial stability.The entire approach is two-dimensional as well. First, all modeling steps have replicable programming codes both in R and Matlab. In this way, the reader can experience the impact of changing the default probabilities of a given borrower or the weights of a sector. Second, at each stage, the book discusses the regulatory environment. This is because, at times, regulation can have stricter constraints than the outcome of internal models. In summary, the book guides the reader in modeling and managing credit risk by providing both the theoretical framework and the empirical tools necessary for a modern finance professional. In this sense, the book is aimed at a wide audience in all fields of study: from quants who want to engage in finance to economists who want to learn about coding and modern financial engineering.

Download or read book Credit Risk Management written by Jiří Witzany and published by Springer. This book was released on 2017-02-24 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.

Download or read book Practical Methods of Financial Engineering and Risk Management written by Rupak Chatterjee and published by Apress. This book was released on 2014-09-26 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demonstrate the urgent and abiding need for statistical tools adequate to measure and anticipate the amplitude of potential swings in the financial markets—from ordinary stock price and interest rate moves, to defaults, to those increasingly frequent "rare events" fashionably called black swan events. Yet many on Wall Street continue to rely on standard models based on artificially simplified assumptions that can lead to systematic (and sometimes catastrophic) underestimation of real risks. In Practical Methods of Financial Engineering and Risk Management, Dr. Rupak Chatterjee— former director of the multi-asset quantitative research group at Citi—introduces finance professionals and advanced students to the latest concepts, tools, valuation techniques, and analytic measures being deployed by the more discerning and responsive Wall Street practitioners, on all operational scales from day trading to institutional strategy, to model and analyze more faithfully the real behavior and risk exposure of financial markets in the cold light of the post-2008 realities. Until one masters this modern skill set, one cannot allocate risk capital properly, price and hedge derivative securities realistically, or risk-manage positions from the multiple perspectives of market risk, credit risk, counterparty risk, and systemic risk. The book assumes a working knowledge of calculus, statistics, and Excel, but it teaches techniques from statistical analysis, probability, and stochastic processes sufficient to enable the reader to calibrate probability distributions and create the simulations that are used on Wall Street to valuate various financial instruments correctly, model the risk dimensions of trading strategies, and perform the numerically intensive analysis of risk measures required by various regulatory agencies.

Download or read book Fractional Discrete Chaos Theories Methods And Applications written by Adel Ouannas and published by World Scientific. This book was released on 2023-02-13 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the nineteenth-century, fractional calculus had its origin in extending differentiation and integration operators from the integer-order case to the fractional-order case. Discrete fractional calculus has recently become an important research topic, useful in various science and engineering applications. The first definition of the fractional-order discrete-time/difference operator was introduced in 1974 by Diaz and Osler, where such operator was derived by discretizing the fractional-order continuous-time operator. Successfully, several types of fractional-order difference operators have then been proposed and introduced through further generalizing numerous classical operators, motivating several researchers to publish extensively on a new class of systems, viz the nonlinear fractional-order discrete-time systems (or simply, the fractional-order maps), and their chaotic behaviors. This discovery of chaos in such maps, has led to novel control methods for effectively stabilizing their chaotic dynamics.The aims of this book are as follows:

Download or read book Nonlinear Dynamics Of Lasers written by F Tito Arecchi and published by World Scientific. This book was released on 2023-02-06 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the early 1980s, the late luminary Tito Arecchi was the first to highlight the existence of chaos in a laser model. Since then, along with several colleagues, he developed many important lines of research in this field, such as generalized multistability, laser with injected signal, laser with delayed feedback and the worldwide accepted classification of lasers of A, B and C, depending on their typical relaxation rates. Later, chaos control and synchronization were investigated in lasers and other systems, providing innovative schemes. Very recently, in his last contribution to laser physics, the model of the laser with feedback demonstrating its universal features was revisited.This book aims to present the research activity of Prof. Arecchi and his colleagues in the domain of nonlinear dynamics of lasers, since his seminal works of 1982 till the latest. Also included is our last contribution on jerk dynamics of laser's minimal universal model and a brief history of the discovery of laser where the reader will discover or rediscover many anecdotes about it.

Download or read book The xVA Challenge written by Jon Gregory and published by John Wiley & Sons. This book was released on 2015-09-24 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management. Market practice around counterparty credit risk and credit and debit value adjustment (CVA and DVA) The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirements The impact of accounting requirements such as IFRS 13 Recent thinking on the applications of funding, collateral, and capital adjustments (FVA, ColVA and KVA) The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of collateral, funding, and capital alongside counterparty risk. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital provides expert perspective and real-world guidance for today's institutions.

Download or read book Systemic Risk Contributions written by Klaus Düllmann and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Introduction to Credit Risk written by Giulio Carlone and published by CRC Press. This book was released on 2020-11-09 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: Features Uses an in-depth case study to illustrate multiple factors in counterparty credit risk exposures Suitable for quantitative risk managers at banks, as well as students of finance, financial mathematics, and software engineering Provides the reader with numerous examples and applications

Download or read book International Financial Crisis The Have The Rules Of Finance Changed written by Douglas D Evanoff and published by World Scientific. This book was released on 2011-01-27 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has caused massive upheavals worldwide. The papers in this volume analyze whether financial principles seem to have shifted in recent years, and what that may mean for international financial markets and regulation. What “broke” in the current crisis? Is there no “playbook” on how to respond to systemic crises? What is the optimal role of the state in dealing with crises? How should asset bubbles be addressed in the future? Do we need a major overhaul of governance in the industry? What means exist to address systemic crises? What reforms are needed? These and related issues are discussed by an impressive list of well-known scholars, policymakers and practitioners, with an emphasis on the implications for public policy.

Download or read book Modelling Pricing and Hedging Counterparty Credit Exposure written by Giovanni Cesari and published by Springer Science & Business Media. This book was released on 2009-12-06 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Credit Derivatives Pricing Models written by Philipp J. Schönbucher and published by John Wiley & Sons. This book was released on 2003-06-13 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

Download or read book Credit Risk Management In and Out of the Financial Crisis written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2010-04-16 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.

Download or read book Innovations in Derivatives Markets written by Kathrin Glau and published by Springer. This book was released on 2016-12-02 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

Download or read book Counterparty Risk and Funding written by STEPHANE. BIELECKI CREPEY (TOMASZ R.. BRIGO, DAMIANO.) and published by CRC Press. This book was released on 2020-12-18 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today's financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.

Download or read book XVA Desks A New Era for Risk Management written by I. Ruiz and published by Springer. This book was released on 2015-04-27 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk management, pricing considerations and implementation.

Download or read book Powering the Digital Economy Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.

Download or read book Derivatives for Decision Makers written by George Crawford and published by John Wiley & Sons. This book was released on 1996-08-10 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A brilliantly conceived and lucidly written exposition of the most important topic on the frontier of modern finance. This book takes the mystery out of derivatives. Bravo!"—John H. Langbein, Professor, Yale Law School "Derivatives for Decision Makers is a first in explaining derivatives to those who need to understand them. It explains what derivatives are, how they can be used as risk management tools, and what managers and decision makers need to know about the subject. Not only is the technical substance superb, but the form is accessible to all decision makers."—Afsaneh Mashayekhi Beschloss, Director, The World Bank Group "Derivatives for Decision Makers is an excellent resource for both users and providers of derivative products, regardless of the reader's level of sophistication. The recent highly publicized derivatives problems are objectively reviewed by the authors who contribute important and sensible recommendations to avoid similar situations in the future."—Dipak K. Rastogi, Executive Vice President and former Head of Global Derivatives, Citibank, N. A. "Derivatives can play a critical role in achieving corporate financing and investment strategies. Whether you are a novice or a seasoned practitioner, Crawford and Sen present a superb roadmap with well-chosen, real-world illustrations. Their vivid insights make this book a 'must-read' for corporate and pension fund managers."—Sandra S. Wijnberg, Vice President & Assistant Treasurer, PepsiCo, Inc. "Crawford and Sen have done a fine job of making derivatives comprehensible for managers who need to understand the basic features and uses of these instruments. This coverage, together with the book's unique emphasis on senior management's fiduciary obligations to the firm's shareholders, sets this book apart from other attempts to make derivatives accessible to senior management. This book is an important read."—John F. Marshall, Executive Director, International Association of Financial Engineers and Professor of Financial Engineering, Polytechnic University Derivatives are the power tools that enable users to analyze components of risk and return inherent in an investment or a business. The popularity of derivative use in the marketplace has surged in recent years, spurring financial innovation and better risk management. Yet this popular instrument is double-edged: derivatives are as risky as they are beneficial. In light of recent, highly publicized disasters—the Orange County bankruptcy and the Barings fiasco—it is imperative that business and finance professionals have a current and basic knowledge of this complicated and venturesome field. If you are a shareholder, director, or other decision maker in a company utilizing derivatives, it is important that you know how to maximize the benefits of derivatives and minimize the damage that they can cause. Now, two leading financial experts provide the solid principles you need to understand and properly use derivative products and structured financing. Starting upwards from the ground floor, this straightforward, no-nonsense resource is replete with tables, graphs, and common examples and common sense, offering invaluable information on: The three major types of derivatives-options, futures, and swaps Leverage—what it is, why it is so important, how it is used to increase returns, and how it multiplies risk Hedging a stock portfolio and hedging industry risk with synthetic futures Business risks—core and secondary risks; which business risks to hedge with derivatives Investment strategies using derivatives Derivative risks—market, credit, legal, and systemic Fiduciary duties—the duties of loyalty and care, exceptions, the prudent investor rule, business judgment, rule and disclosure requirements Delegating management functions—selecting, instructing, and monitoring experts Whether you're a manager, director, attorney, accountant, corporate executive, or corporate shareholder, this comprehensive book will prove to be an invaluable guide on utilizing and handling derivatives wisely, resourcefully, and successfully.