(Ebook) Counterparty risk and funding: a tale of two puzzles by Tomasz R. Bielecki, Damiano Brigo, Stéphane Crépey ISBN 9781131151151, 9781315373621, 9781466516465, 1131151151, 1315373629, 1466516461

(Ebook) Counterparty risk and funding: a tale of two puzzles by Tomasz R. Bielecki, Damiano Brigo, Stéphane Crépey ISBN 9781131151151, 9781315373621, 9781466516465, 1131151151, 1315373629, 1466516461

And Funding; To the Discerning Reader; The First Day; The Second Day; The Third Day; The Fourth Day The Whys of the LOIS; Financial Setup; Indifference Valuation Model; LOIS Formula; Numerical Study Model-Free Developments; Pure Counterparty Risk; Cash Flows; Valuation and Hedging; CSA Specifications Bilateral Counterparty Risk under Funding Constraints; Introduction; Market Model; Trading Strategies; Martingale Pricing Approach; TVA; Example Reduced-Form BSDE Modeling; A Reduced-Form TVA BSDE Approach to Counterparty Risk under Funding Constraints; Introduction; Pre-Default BSDE Modeling; Markov Case The Four Wings of the TVA; Introduction; TVA Representations; CSA Specifications; Clean Valuations; TVA Computations Dynamic Copula Models; Dynamic.;; Stochastic Integration; Itô Processes; Jump-Diffusions; Feynman-Kac Formula; Backward Stochastic Differential Equations; Measure Changes and Random Intensity of Jumps; Reduction of Filtration and Hazard Intensity Pre-Default Credit Risk Modeling Markov Consistency and Markov Copulas; Introduction; Consistent Markov Processes; Markov Copulas; Examples Index.;Gaussian Copula Model; Introduction; Model; Clean Valuation and Hedging of Credit Derivatives; Counterparty Risk Common-Shock Model; Introduction; Model of Default Times; Clean Pricing,;Calibration and Hedging; Numerical Results; CVA Pricing and Hedging CVA Computations for one CDS in the Common-Shock Model; Introduction; Generalities; Common-Shock Model with Deterministic Intensities; Numerical Results with Deterministic Intensities; Common-Shock Model with Stochastic Intensities; Numerics CVA Computations for Credit Portfolios in the Common-Shock Model; Portfolio of CDS; CDO Tranches Further Developments; Rating Triggers and Credit Migrations; Introduction; Credit Value Adjustment and Collateralization under Rating Triggers; Markov Copula Approach for Rating-Based Pricing; Applications A Unified Perspective; Introduction; Marked Default Time Reduced-Form Modeling; Dynamic Gaussian Copula TVA Model; Dynamic Marshall-Olkin Copula TVA Model Mathematical Appendix; Stochastic Analysis Prerequisites.;Financial Landscape; A Galilean Dialogue on Counterparty Risk, CVA, DVA, Multiple Curves, Collateral,;Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit RiskCounterparty 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.