Derivatives and Internal Models

The fifth edition of this classic finance book has been comprehensively reviewed.

Author: Hans-Peter Deutsch

Publisher: Springer Nature

ISBN: 9783030228996

Category: Business & Economics

Page: 897

View: 944

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Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems.

Derivatives and Internal Models

12.2 HEDGING DERIVATIVES WITH SPOT TRANSACTIONS In a similar manner as in Chapter 10, we will now construct a portfolio which ... We have yet to exploit the second condition, which is 200 DERIVATIVES AND INTERNAL MODELS 12.2 Hedging ...

Author: H. Deutsch

Publisher: Springer

ISBN: 9780230234758

Category: Business & Economics

Page: 755

View: 636

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This book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.

Derivatives and Internal Models

In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference ...

Author: H. Deutsch

Publisher: Springer

ISBN: 9780230502109

Category: Business & Economics

Page: 621

View: 845

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The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference schemes, Martingales and Numeraires.

Counterparty Credit Risk

INTERNAL. MODEL. METHOD. 11.5.1 Introduction ISDA concluded in 2001 that institutions with competence in market risk modelling were also suitably qualified to model exposures for derivatives using internal models.

Author: Jon Gregory

Publisher: John Wiley & Sons

ISBN: 9780470685761

Category: Business & Economics

Page: 449

View: 967

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The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.

Federal Register

See 17 CFR 240.15a - 1 , internal models , an entity seeking to become an OTC derivatives dealer must identify the types of Preliminary Note . The minimum net capital 162 Currently , there are six ANC broker - dealers : requirements for ...

Author:

Publisher:

ISBN: UCR:31210024752436

Category: Delegated legislation

Page:

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Code of Federal Regulations

A bank that uses the internal models methodology for a particular transaction type ( OTC derivative contracts , eligible margin loans , or repo - style transactions ) must use the internal models methodology for all transactions of that ...

Author: United States. Internal Revenue Service

Publisher:

ISBN: UCR:31210025929306

Category: Aeronautics

Page: 1026

View: 922

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Special edition of the Federal register, containing a codification of documents of general applicability and future effect as of April 1 ... with ancillaries

Code of Federal Regulations

A bank that incorporates specific risk in its internal model has no specific risk surcharge for purposes of section 3 ... Also included are derivatives ( including written and purchased options ) for which the underlying instrument is a ...

Author:

Publisher:

ISBN: NYPL:33433071870897

Category: Administrative law

Page: 352

View: 362

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Code of Federal Regulations

each individual OTC derivative contract subject to the qualifying master netting agreement ) ; and ( B ) NGR the net to ... A bank that uses the internal models methodology for a particular transaction type ( OTC derivative contracts ...

Author: United States. Department of Agriculture

Publisher:

ISBN: UCR:31210025929348

Category: Agricultural laws and legislation

Page: 1172

View: 273

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Special edition of the Federal register, containing a codification of document of general applicability and future effect as of April 1 ... with ancillaries.

Code of Federal Regulations Title 12 Banks and Banking PT 300 499 Revised as of January 1 2012

( d ) Internal models methodology . ( 1 ) With prior written approval from the FDIC , a bank may use the internal models methodology in this paragraph ( d ) to determine EAD for counterparty credit risk for OTC derivative contracts ...

Author: Office of the Federal Register (U.S.) Staff

Publisher: Government Printing Office

ISBN: 0160900875

Category:

Page: 1136

View: 950

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