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Discounting, LIBOR, CVA and funding ...

Kenyon, Chris, (1963-)

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Discounting, LIBOR, CVA and funding = interest rate and credit pricing /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Discounting, LIBOR, CVA and funding/ Chris Kenyon and Roland Stamm.
其他題名:	interest rate and credit pricing /
作者:	Kenyon, Chris,
其他作者:	Stamm, Roland,
出版者:	Houndmills, Basingstoke, Hampshire ;Palgrave Macmillan, : 2012.,
面頁冊數:	1 online resource (xxiv, 227 p.) :ill.
內容註:	Preface -- Acknowledgements -- Back to the Basics -- Bootstrapping of Zero Curves -- Introduction to Credit Spreads -- A Plethora of Credit Spreads -- Introduction to Basis Spreads -- Local Discount Curves -- Global Discount Curve -- Non-Linear Products -- CVA: Instrument Level -- CVA: Firm Level -- Basel III -- Backtesting -- Bibliography.
標題:	Interest rates. -
電子資源:	http://link.springer.com/10.1057/9781137268525An electronic book accessible through the World Wide Web; click for information
ISBN:	9781137268525 (electronic bk.)

Discounting, LIBOR, CVA and funding = interest rate and credit pricing /
Kenyon, Chris,1963-

Discounting, LIBOR, CVA and fundinginterest rate and credit pricing /[electronic resource] :Chris Kenyon and Roland Stamm. - Houndmills, Basingstoke, Hampshire ;Palgrave Macmillan,2012. - 1 online resource (xxiv, 227 p.) :ill. - Applied quantitative finance.

Includes bibliographical references and index.

Preface -- Acknowledgements -- Back to the Basics -- Bootstrapping of Zero Curves -- Introduction to Credit Spreads -- A Plethora of Credit Spreads -- Introduction to Basis Spreads -- Local Discount Curves -- Global Discount Curve -- Non-Linear Products -- CVA: Instrument Level -- CVA: Firm Level -- Basel III -- Backtesting -- Bibliography.

"The credit and sovereign debt crises have fundamentally changed the way participants in the global financial markets perceive credit risk. In market practice this is most directly visible from significant bases throughout the interest rate world, especially tenor bases, cross-currency bases, and bond-CDS bases. This means that the curve used for discounting is no longer the curve used for LIBOR (aka Fixing Curve or Forwarding Curve). In the last two years a consensus has emerged that this multi-curve pricing is now standard. The crises have also altered the perception of banks and governments - they are no longer regarded as zero-risk counterparties. Now both sides of an uncollateralized trade need to consider, and price in, the risk that the other defaults: my CVA is your DVA. Even collateralization does not remove pricing problems: when you post collateral how much do you have to pay for it? This FVA is not symmetric in many ways: whatever it costs you to source it, your counterparty will only pay you OIS. Even worse is that your funding costs are unlikely to be the same as those of all your counterparties. Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing is the first book to illustrate new ways of pricing interest rate and credit products in the post-crisis markets. Written by two seasoned practitioners, it will enable the readers to understand the many different versions of credit and basis spreads, and to build the appropriate discount curves that take these spreads into account so that collateralized derivatives will be priced correctly. The authors guide the reader through the complexity added by OIS discounting and multi-curve pricing as well as CVA, DVA and FVA. Derivatives do not exist in a vacuum. Regulators worldwide have reacted strongly to the crises with the introduction of Basel III. Hitherto quants could ignore capital costs and charges, but as of January 2013 this world is gone. Discounting, LIBOR, CVA and Funding explains details of Basel III that are important for pricing, especially around the CVA VaR and default exposure capital charges. This book will be required reading for quantitative practitioners who need to keep up-to-date with the latest developments in derivatives pricing, and will also be of interest to academic researchers and students interested in how instruments are priced in practice"--Provided by publisher.

ISBN: 9781137268525 (electronic bk.)

Standard No.: 9786613885173

Source: 630482Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

654999
Interest rates.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG1621 / .K46 2012eb (Online)

Dewey Class. No.: 332.8/4

Discounting, LIBOR, CVA and funding = interest rate and credit pricing /
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300 $a 1 online resource (xxiv, 227 p.) : $b ill.
490 0 $a Applied quantitative finance
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505 0 $a Preface -- Acknowledgements -- Back to the Basics -- Bootstrapping of Zero Curves -- Introduction to Credit Spreads -- A Plethora of Credit Spreads -- Introduction to Basis Spreads -- Local Discount Curves -- Global Discount Curve -- Non-Linear Products -- CVA: Instrument Level -- CVA: Firm Level -- Basel III -- Backtesting -- Bibliography.
520 $a "The credit and sovereign debt crises have fundamentally changed the way participants in the global financial markets perceive credit risk. In market practice this is most directly visible from significant bases throughout the interest rate world, especially tenor bases, cross-currency bases, and bond-CDS bases. This means that the curve used for discounting is no longer the curve used for LIBOR (aka Fixing Curve or Forwarding Curve). In the last two years a consensus has emerged that this multi-curve pricing is now standard. The crises have also altered the perception of banks and governments - they are no longer regarded as zero-risk counterparties. Now both sides of an uncollateralized trade need to consider, and price in, the risk that the other defaults: my CVA is your DVA. Even collateralization does not remove pricing problems: when you post collateral how much do you have to pay for it? This FVA is not symmetric in many ways: whatever it costs you to source it, your counterparty will only pay you OIS. Even worse is that your funding costs are unlikely to be the same as those of all your counterparties. Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing is the first book to illustrate new ways of pricing interest rate and credit products in the post-crisis markets. Written by two seasoned practitioners, it will enable the readers to understand the many different versions of credit and basis spreads, and to build the appropriate discount curves that take these spreads into account so that collateralized derivatives will be priced correctly. The authors guide the reader through the complexity added by OIS discounting and multi-curve pricing as well as CVA, DVA and FVA. Derivatives do not exist in a vacuum. Regulators worldwide have reacted strongly to the crises with the introduction of Basel III. Hitherto quants could ignore capital costs and charges, but as of January 2013 this world is gone. Discounting, LIBOR, CVA and Funding explains details of Basel III that are important for pricing, especially around the CVA VaR and default exposure capital charges. This book will be required reading for quantitative practitioners who need to keep up-to-date with the latest developments in derivatives pricing, and will also be of interest to academic researchers and students interested in how instruments are priced in practice"--Provided by publisher.
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