DUBLIN--(BUSINESS WIRE)--Research and Markets (http://www.researchandmarkets.com/research/9kp9qq/counterparty_risk) has announced the addition of the "Counterparty Risk Management - Measurement, Pricing and Regulation" book to their offering.
Joining forces to update their respective bestsellers Counterparty Credit Risk and Counterparty Credit Risk Modelling, editors Eduardo Canabarro and Michael Pykhtin have assembled a team of experts to provide a comprehensive and contextualised understanding of the current status and key issues in counterparty risk management in the wake of the financial crisis.
Counterparty Risk Management is a collection of clear and concise articles produced by some of the most experienced and prominent professionals in the field affiliated with such respected institutions as the Federal Reserve Board of Governors, UBS, JP Morgan and Credit Suisse. The content of Counterparty Risk Management is part of the daily job of any finance-industry related professional and each chapter will address a key aspect of counterparty risk.
This book is essential reading not only for quants and practitioners, to understand the substantive and often technical issues at hand, but for a wide cross-section of readers from risk managers, regulators and policy makers, to consultants, accountants, lawmakers, auditors and researchers.
Key Topics Covered:
Part 1 - Regulation
Chapter 1: The Basel III Enhancements to Counterparty Risk Capital Charges
Chapter 2: The Regulation of Counterparty Risk in Over-the-Counter Derivatives Markets
Chapter 3: The Non-Internal-Model Method for Counterparty Credit Risk
Chapter 4: On Credit Valuation Adjustments and Regulatory Capital
Part 2 - Exposure Modelling
Chapter 5: American Monte Carlo: A Practitioner Approach
Chapter 6: Best Market Practice for Calculation and Reporting of Wrong-Way Risk
Chapter 7: Central Counterparty Risk
Part 3 - Pricing and Hedging
Chapter 8: CVA Risk Management Post-Crisis
Chapter 9: Rethinking CVA: Valuations, Counterparty Credit Risk and Model Risk
Chapter 10: Should Derivatives Dealers Make a Funding Value Adjustment?
Chapter 11: Adjoint Algorithmic Differentiation (AAD): Real Time Counterparty Credit Risk Management in Monte Carlo Simulations
Part 4 - Stress Testing and Collateral
Chapter 12: Stress Test of Counterparty Risks and Dynamic Hedging of the CVA
Chapter 13: Dynamic Stress Testing of Counterparty Default Risk
Chapter 14: Collateral: Modelling, Pricing and Optimisation
For more information visit http://www.researchandmarkets.com/research/9kp9qq/counterparty_risk