Counterparty credit risk modelling : risk management, pricing and regulation

Abstract

SECTION 1: RISK MANAGEMENT AT COUNTERPARTY LEVEL1 Modelling Stochastic Counterparty Credit Exposures for Derivatives PortfoliosBen De Prisco, Algorithmics Inc Dan Rosen, Fields Institute for Research in Mathematical Sciences2 Measuring Counterparty Credit Exposure to a Margined CounterpartyMichael Gibson, Federal Reserve Board3 Modelling Collateral for Credit Exposures: a Structural ApproachDidier Cossin and Tomas Hricko, IMD4 A Conditional Valuation Approach for Path-Dependent InstrumentsDante Lomibao and Steven Zhu, Bank of America5 Modelling Counterparty Credit Exposure for Credit Default SwapsChristian Hille, John Ring and Hideki Shimamoto, Nomura InternationalRisk Management at Portfolio LevelSECTION 2: RISK MANAGEMENT AT PORTFOLIO LEVEL6 Calculating and Hedging Exposure, Credit Value Adjustment and Economic Capital for Counterparty Credit RiskEvan Picoult, Citigroup7 Analytic Methods for Portfolio Counterparty Credit RiskTom Wilde, Credit Suisse First BostonSECTION 3: REGULATORY CAPITAL8 Analysis of Basel II Treatment of Counterparty Credit RiskMarcus Fleck and Andreas Schmidt, Dresdner Bank9 Risk-Sensitive Regulatory Capital Rules for Hedged Credit ExposuresErik Heitfield, FRB Steven Burton, FDIC Souphala Chomsisengphet, OCCPricing and HedgingSECTION 4: PRICING10 Risk Neutral Pricing of Counterparty RiskDamiano Brigo and Massimo Masetti, Banca IMI11 The Pricing Implications of Counterparty Risk for Non-Linear Credit ProductsStuart Turnbull, University of Houston12 Pricing Counterparty Risk in Unfunded Synthetic CDO TranchesDmitry Pugachevsky, Bear Stearns

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