Counterparty credit risk, collateral and funding : (Record no. 643578)
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| 005 - DATE AND TIME OF LATEST TRANSACTION | |
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| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
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| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
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| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190918s2013 enk ob 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
| LC control number | 2013-001506 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780470661673 |
| Qualifying information | (MobiPocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0470661674 |
| Qualifying information | (MobiPocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780470661789 |
| Qualifying information | (ePub) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 047066178X |
| Qualifying information | (ePub) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780470662496 |
| Qualifying information | (Adobe PDF) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0470662492 |
| Qualifying information | (Adobe PDF) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 047074846X |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780470748466 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9780470748466 |
| Qualifying information | (cloth) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781299315891 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 1299315895 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118818589 |
| Qualifying information | electronic book |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 111881858X |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | AU@ |
| System control number | 000053299327 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | CHNEW |
| System control number | 000599611 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV041905057 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV042742802 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBSZ |
| System control number | 397500785 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DKDLA |
| System control number | 820120-katalog:000654360 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | NLGGC |
| System control number | 357342208 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | NZ1 |
| System control number | 15341893 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBSZ |
| System control number | 449349810 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV043395298 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)824120034 |
| Canceled/invalid control number | (OCoLC)836201010 |
| -- | (OCoLC)841908770 |
| -- | (OCoLC)841908772 |
| -- | (OCoLC)868031850 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)ocn824120034 |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 462839 |
| Source of stock number/acquisition | MIL |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 50230E72-6862-4255-A264-AE27D3BE6F9B |
| Source of stock number/acquisition | OverDrive, Inc. |
| Note | http://www.overdrive.com |
| 039 #9 - LEVEL OF BIBLIOGRAPHIC CONTROL AND CODING DETAIL [OBSOLETE] | |
| Level of rules in bibliographic description | 201911011459 |
| Level of effort used to assign nonsubject heading access points | emilda |
| y | 09-18-2019 |
| z | hafiz |
| w | UKM UBCM Wiley MARC (363 titles).mrc |
| x | 196 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | UKM |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DLC |
| Language of cataloging | eng |
| Description conventions | rda |
| -- | pn |
| Transcribing agency | DLC |
| Modifying agency | EBLCP |
| -- | MHW |
| -- | CDX |
| -- | NST |
| -- | IDEBK |
| -- | E7B |
| -- | B24X7 |
| -- | MEAUC |
| -- | CUS |
| -- | YDXCP |
| -- | CUI |
| -- | TEFOD |
| -- | DEBSZ |
| -- | DKDLA |
| -- | CAUOI |
| -- | OCLCO |
| -- | DEBBG |
| -- | TEFOD |
| -- | OCLCQ |
| -- | OCLCO |
| -- | LOA |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | pcc |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG106 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 027000 |
| Source | bisacsh |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.701/5195 |
| Edition information | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Brigo, Damiano, |
| Dates associated with a name | 1966- |
| 245 10 - TITLE STATEMENT | |
| Title | Counterparty credit risk, collateral and funding : |
| Remainder of title | with pricing cases for all asset classes / |
| Statement of responsibility, etc. | Damiano Brigo, Massimo Morini, Andrea Pallavicini. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Chichester, West Sussex : |
| Name of producer, publisher, distributor, manufacturer | John Wiley & Sons Inc., |
| Date of production, publication, distribution, manufacture, or copyright notice | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource. |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | [Wiley finance series] |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Counterparty Credit Risk, Collateral and Funding; Contents; Ignition; Abbreviations and Notation; PART I COUNTERPARTY CREDIT RISK, COLLATERAL AND FUNDING; 1 Introduction; 1.1 A Dialogue on CVA; 1.2 Risk Measurement: Credit VaR; 1.3 Exposure, CE, PFE, EPE, EE, EAD; 1.4 Exposure and Credit VaR; 1.5 Interlude: P and Q; 1.6 Basel; 1.7 CVA and Model Dependence; 1.8 Input and Data Issues on CVA; 1.9 Emerging Asset Classes: Longevity Risk; 1.10 CVA and Wrong Way Risk; 1.11 Basel III: VaR of CVA and Wrong Way Risk; 1.12 Discrepancies in CVA Valuation: Model Risk and Payoff Risk. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 1.13 Bilateral Counterparty Risk: CVA and DVA1.14 First-to-Default in CVA and DVA; 1.15 DVA Mark-to-Market and DVA Hedging; 1.16 Impact of Close-Out in CVA and DVA; 1.17 Close-Out Contagion; 1.18 Collateral Modelling in CVA and DVA; 1.19 Re-Hypothecation; 1.20 Netting; 1.21 Funding; 1.22 Hedging Counterparty Risk: CCDS; 1.23 Restructuring Counterparty Risk: CVA-CDOs and Margin Lending; 2 Context; 2.1 Definition of Default: Six Basic Cases; 2.2 Definition of Exposures; 2.3 Definition of Credit Valuation Adjustment (CVA); 2.4 Counterparty Risk Mitigants: Netting. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 2.5 Counterparty Risk Mitigants: Collateral2.5.1 The Credit Support Annex (CSA); 2.5.2 The ISDA Proposal for a New Standard CSA; 2.5.3 Collateral Effectiveness as a Mitigant; 2.6 Funding; 2.6.1 A First Attack on Funding Cost Modelling; 2.6.2 The General Funding Theory and its Recursive Nature; 2.7 Value at Risk (VaR) and Expected Shortfall (ES) of CVA; 2.8 The Dilemma of Regulators and Basel III; 3 Modelling the Counterparty Default; 3.1 Firm Value (or Structural) Models; 3.1.1 The Geometric Brownian Assumption; 3.1.2 Merton's Model; 3.1.3 Black and Cox's (1976) Model. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3.1.4 Credit Default Swaps and Default Probabilities3.1.5 Black and Cox (B & C) Model Calibration to CDS: Problems; 3.1.6 The AT1P Model; 3.1.7 A Case Study with AT1P: Lehman Brothers Default History; 3.1.8 Comments; 3.1.9 SBTV Model; 3.1.10 A Case Study with SBTV: Lehman Brothers Default History; 3.1.11 Comments; 3.2 Firm Value Models: Hints at the Multiname Picture; 3.3 Reduced Form (Intensity) Models; 3.3.1 CDS Calibration and Intensity Models; 3.3.2 A Simpler Formula for Calibrating Intensity to a Single CDS; 3.3.3 Stochastic Intensity: The CIR Family. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3.3.4 The Cox-Ingersoll-Ross Model (CIR) Short-Rate Model for r3.3.5 Time-Inhomogeneous Case: CIR++ Model; 3.3.6 Stochastic Diffusion Intensity is Not Enough: Adding Jumps. The JCIR(++) Model; 3.3.7 The Jump-Diffusion CIR Model (JCIR); 3.3.8 Market Incompleteness and Default Unpredictability; 3.3.9 Further Models; 3.4 Intensity Models: The Multiname Picture; 3.4.1 Choice of Variables for the Dependence Structure; 3.4.2 Firm Value Models?; 3.4.3 Copula Functions; 3.4.4 Copula Calibration, CDOs and Criticism of Copula Functions; PART II PRICING COUNTERPARTY RISK: UNILATERAL CVA. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular'concrete' financial situations across asset classes, incl. |
| 588 0# - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Print version record and CIP data provided by publisher. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Credit |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Credit derivatives |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Financial risk |
| General subdivision | Mathematical models. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | BUSINESS & ECONOMICS |
| General subdivision | Finance. |
| Source of heading or term | bisacsh |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 655 #0 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 655 #7 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| Source of term | local |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Morini, Massimo. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Pallavicini, Andrea. |
| 773 0# - HOST ITEM ENTRY | |
| Title | Wiley e-books |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Brigo, Damiano, 1966- |
| Title | Counterparty credit risk, collateral and funding. |
| Place, publisher, and date of publication | Chichester, West Sussex : John Wiley & Sons Inc., 2013 |
| International Standard Book Number | 9780470748466 |
| Record control number | (DLC) 2012051762 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley finance series. |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://eresourcesptsl.ukm.remotexs.co/user/login?url=https://doi.org/10.1002/9781118818589">https://eresourcesptsl.ukm.remotexs.co/user/login?url=https://doi.org/10.1002/9781118818589</a> |
| Public note | Wiley Online Library |
| 907 ## - LOCAL DATA ELEMENT G, LDG (RLIN) | |
| a | .b16756915 |
| b | 2022-10-11 |
| c | 2019-11-12 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Suppress in OPAC | No |
| 914 ## - VTLS Number | |
| VTLS Number | vtls003651348 |
| 998 ## - LOCAL CONTROL INFORMATION (RLIN) | |
| Library | |
| Operator's initials, OID (RLIN) | 2019-05-09 |
| Cataloger's initials, CIN (RLIN) | m |
| Material Type (Sierra) | E-Book |
| Language | English |
| Country | |
| -- | 0 |
| -- | .b16756915 |
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