COUNTERPARTY CREDIT RISK: MEASUREMENT, PRICING AND HEDGING
Book ID/图书代码： 14936110B43906
English Summary/英文概要： The Basel Committee for Banking Supervison (BCBS) has issued a substantive package of changes to the regulatory framework around counterparty credit risks in response to the events of the financial crisis of 2007-8. During this crisis, as in prior, counterparty credit risks have been at the center stage of the most crucial episodes.
Our book examines key aspects of counterparty risk management and models during the crisis and proposes practical guidance to improvements.
It contains a worth of insights useful to practitioners, regulators, consultants, accountants, lawmakers, auditors and researchers to understand the substantive, and often technical, issues on the table.
The book is a collection of clear and concise articles produced by some of the most experienced and prominent professionals in the field. All of them strived to produce material that is substantive and accessible. This provides an invaluable collection of ideas and tools to face the changes and challenges ahead and address some of the most important issues of the moment:
- The proposed changes in counterparty risk capital may cause regulatory capital on credit risk to double
- Banks will have to invest enormous resources to upgrade their counterparty risk management systems
- Methods and process will be enhanced to address the demands on the governance of wrong-way risks, model validation and backtesting, and stress testing
- CVAs and the market risk management of counterparty risks is key under the ruling of FAS 157 and IAS 39
The book consists of 14 chapters broken down into four broad areas:
· Chapters 1 to 5 cover topics related to counterparty risk measurement and management. It focuses on two very current subjects: systemic counterparty risk and collateralization.
· Chapters 6 to 10 cover topics related to the pricing and hedging of counterparty risks and of collateral arrangements. CVAs have caused massive losses to banks during the recent crisis and have motivated some of the recent the Basel Committee’s proposals for reforms of the regulatory capital on counterparty risks. The implications of collateral to OTC derivative valuation, funding costs and availability of funding are important current issues that are covered.
· Chapters 11 and 12 cover stress testing of counterparty risks. The recent experience made clear that stress tests frameworks need to be expanded and enhanced and some new and promising ideas are described.
· Chapters 13 and 14 cover back-testing of counterparty exposure models and the incorporation of counterparty risks into economic and regulatory capital frameworks.
Chinese Summary/中文概要： 作为对2007年至2008年金融危机的回应，巴塞尔银行监管委员会对于交易对手风险方面的监管构架作了大面积的调整和改动。因为在此次金融危机中，交易对手信用风险占据着非常重要的一环。 本书重点探究了危机期间关于交易对手风险管理和模式的一些关键因素，并对如何改进提出了翔实中肯的建议。对于想要了解实质性专业知识的从业人员、监管机构、咨询机构、会计师、立法人员、审计员以及研究人员来说，本书有大量值得细细研读的深刻见解。
本书汇集了很多业内专家的经验之谈，他们力求提供给读者实质性并且易于理解的内容，为如何应对改变和挑战提供了很多无价的想法和模具，并且讨论了很多当今最为重要的议题：
-交易对手风险资本的变动可能会导致信用风险的监管资本翻一番
-银行将不得不为提升自身的交易对手风险管理体系而大量投入
-为了满足的风险错误操作的管理、模型确认、效率测试以及压力测试的需求，就需要改善方法和程序
本书总共有14章，内容分成4大块：
1-5 交易对手风险测量和管理，其中主题集中在交易对手风险以及担保体系
6-10 交易对手风险管理标价、套期保值以及抵押品管理
11-12 交易对手风险管理压力测试
13-14 交易对手揭露模式的回溯测试以及交易对手风险和经济资本监管框架的合并(兼职翻译FSF)
Awards/获奖情况：
About the Author/作者介绍： 本书作者Eduardo Canabarro是摩根斯坦利投资公司定向风险管理的常务董事，主要负责市场和信用风险评估方法模式的改进发展，以及对银行说使用的标价和风险模型做独立确认。
加入摩根之前，他在雷曼兄弟银行做过相同的职位，身兼常务董事以及定向风险管理的全球主管。他在《金融工程期刊》（Journal of Financial Engineering）, 《固定收入期刊》（Journal of Fixed Income）, 《金融风险期刊》（The Journal of Risk Financing）, 《风险及再保险期刊》（Journal of Risk and Re-Insurance）以及《风险》 （RISK）等杂志上发表过很多篇论文。
Eduardo拥有电气工程学位，巴黎南大河洲联邦大学工商管理学硕士学位，美国伯克利加利福尼亚大学金融学博士学位。 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.
Format:HARDCOVER
Rights Status/版权销售情况：Simplified Chinese/简体中文：AVAILABLE
Complex/Traditional Chinese/繁体中文：AVAILABLE
Sales in other countries/其他国家销售情况：
原文第一章内容：暂无
手稿：暂无
大纲：暂无