交易对手的信用风险2014版.pdf

Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes Contents Ignition xv Abbreviations and Notation xxiii PART I COUNTERPARTY CREDIT RISK, COLLATERAL AND FUNDING 1 Introduction 3 1.1 A Dialogue on CVA 3 1.2 Risk Measurement: Credit VaR 3 1.3 Exposure, CE, PFE, EPE, EE, EAD 5 1.4 Exposure and Credit VaR 7 1.5 Interlude: P and Q 7 1.6 Basel 8 1.7 CVA and Model Dependence 9 1.8 Input and Data Issues on CVA 10 1.9 Emerging Asset Classes: Longevity Risk 11 1.10 CVA and Wrong Way Risk 12 1.11 Basel III: VaR of CVA and Wrong Way Risk 13 1.12 Discrepancies in CVA Valuation: Model Risk and Payoff Risk 14 1.13 Bilateral Counterparty Risk: CVA and DVA 15 1.14 First-to-Default in CVA and DVA 17 1.15 DVA Mark-to-Market and DVA Hedging 18 1.16 Impact of Close-Out in CVA and DVA 19 1.17 Close-Out Contagi