Counterparty Credit Risk torrent

ABOUT THIS BOOK
This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks.

TABLE OF CONTENTS
Preface

Section 1: Counterparty risk measurement and management

Ch. 1 Systemic Counterparty Credit Risk – Aaron Brown

Ch. 2 Collateralized Credit Exposure - Michael Pykhtin

Ch. 3 Efficient Derivation of Counterparty Exposure at Default for Trading Book Credit Risk Economic Capital - David Rowe, Dan Travers and Phillip Koop

Ch. 4 Effective Enterprise-wide Collateral Management - Darren Measures

Ch. 5 Evolution of the US Legal Framework for Counterparty Risk Mitigation – Lauren Teigland-Hunt

Section 2: Counterparty risk pricing and hedging

Ch. 6 Pricing and Hedging Counterparty Risk: Lessons Re-Learned? – Eduardo Canabarro

Ch. 7 The Counterparty Risk of Credit Derivative Products – Jon Gregory

Ch. 8 Contingent Credit Default Swaps - Shankar Mukherjee, Andrew Hollings and Svein Stokke

Ch. 9 Funding Benefit and Funding Cost - Yi Tang and Andrew Williams

Ch.10 Generalized Valuation of Collateralized Derivatives - Patrick Chen, Katsuichiro Uchiyama and Guanghua Cao

Section 3: Stress testing of counterparty risk

Ch. 11 Stress Testing and Scenario Analysis: Some Second Generation Approaches - Gregory Hopper

Ch. 12 Computing and Stress Testing Counterparty Credit Risk Capital - Dan Rosen and David Saunders

Section 4: Backtesting and risk capital of counterparty risk

Ch. 13 Back(testing) to the Future: From Market Risk to Counterparty Credit Risk Models - Eduardo Epperlein, Sean Paul Hrabak, Wei Zhu and Alan Smillie

Ch. 14 Economic Capital on Counterparty Risks - Evan Picoult


ABOUT THE EDITOR
Eduardo Canabarro is the Managing Director responsible for Quantitative Risk Management at Morgan Stanley. He is responsible for the development of the methods and models used to measure market and credit risks as well as for the independent review and validation of pricing and risk models used by the bank.

Prior to Morgan Stanley, he had a similar position at Lehman Brothers as Managing Director and Global Head of Quantitative Risk Management. Eduardo has also worked for Goldman Sachs and Salomon Brothers in Quantitative Modeling and Risk Management.

Eduardo has published various articles in the Journal of Financial Engineering, Journal of Fixed Income, The Journal of Risk Financing, Journal of Risk and Re-Insurance, and RISK. His articles ?Counterparty Risk: Measurement and Pricing’ and ?Analyzing Counterparty Risk’ were cornerstones for the Basel II framework for regulatory capital on counterparty credit risk. He has spoken at leading risk management events around the world including the ones sponsored by the Wharton School, BIS, ICBI, RISK, PRMIA and IAFE.

Eduardo holds degrees in Electrical Engineering and MBA (Finance) from UFRGS Brazil as well as MS and PhD degrees in Finance from University of California at Berkeley, USA.