ABOUT THE BOOK
It is a practical guide to introduce Derivative pricing models and Counterparty Credit Exposure modelling. XVA has been a hot topic in the industry for the last decade and probably more years to come. It has gathered many powerful brains into these subjects within Quantitative Finance. This book opens up the subject for non-mathematical savvy people. Many simple examples are used to explain concepts like Randomness of asset behavior, Derivatives , Counterparty Credit Risk, Monte Carlo method and most importantly, XVAs. With the help of graphs and Python prototypes, the technical complexity will be lower and the subject much easier to understand.
WHAT IS NEW IN THE SECOND EDITION
Credit Derivatives products trading (in particular Correlation books) and desk level risk management including hedging and client facing tactics are introduced in this new edition. Products covered are CDS, CLN and CDO. I covered these during my time at JP Morgan and Barclays Credit & Hybrids derivatives trading & structuring around 2008-2012. Markets have changed a lot since the financial crisis and most of these products now have a very thin market with a small number of active players. This is the reason why I only touched lightly on products like FTD/NTD and Recovery Swaps, but I wanted to preserve the product knowledge and hope that my readers will enjoy it.
Many thanks to Dr. Günter Umlauf for his proof reading and inspiring discussions which have helped me to retrieve those old golden memories.
ABOUT THE AUTHOR
Lilan Li (李岚) is a seasoned quantitative Analyst who has more than 10 years’ experience in quantitative arena across Trading, Structuring, Risk management and Model Validation. Her latest endeavor is Counterparty credit Exposure & XVA Modelling. Before joining Nordea, Lilan had been working for JP Morgan, Barclays and UBS, London as a Quantitative Developer as well as a Model Validator. As an experienced industrial practitioner, Lilan holds a Diplôme d’Ingénieur from I.N.S.A de Lyon after graduating from Fudan University（复旦大学）in Shanghai.
TABLE OF CONTENT
Preface
Structure of the Book
Acknowledgements
1 Introduction to Quantitative Finance
1.1 Basic Economic and Pricing Concepts
1.2 Counterparty Credit Risk (CCR) and XVA.
1.3 Random Behavior of the Asset
1.4 Stochastic Dynamics
2 Risk Factor Modelling and Methodology
2.1 Modelling Framework & Architecture
2.2 Interest Rate Swap (IRS)
2.3 Random Number
2.4 Risk factor Modelling
2.5 Correlation between Risk Factors
2.6 Conclusion
3 Monte Carlo Simulation
3.1 History
3.2 Monte Carlo in Finance
3.3 Monte Carlo Algorithm Step by Step
3.4 Python Prototype
3.5 Issues & challenges
3.6 Conclusion
4 Counterparty Credit Exposure
4.1 Quantify the Exposure
4.2 Counterparty Exposure in Python Prototype
4.3 Different Exposure Measurements
4.4 Graphic analysis of the Results
4.5 Conclusion
5 XVAs family
5.1 Credit Valuation Adjustment – CVA
5.2 Debit Valuation Adjustment – DVA
5.3 Funding and FVA
5.4 Other XVA Topics
5.5 Assumptions
5.6 Conclusion
- Idioma: Inglés
- Libro original impreso
- Nuevo y sellado
