Introduction to Counterparty Credit Risk

Yi Tang and Bin Li
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Yi Tang: Goldman, Sachs & Co., Inc., USA
Bin Li: Westport Financial, LLC, USA

Chapter 1 in Quantitative Analysis, Derivatives Modeling, and Trading Strategies:In the Presence of Counterparty Credit Risk for the Fixed-Income Market, 2007, pp 3-36 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Credit Charge, Credit Benefit, and Credit PremiumCredit Cost, Accrued Funding Cost, and Accrued Funding BenefitTrading Strategies and OpportunitiesComparison with Bond Credit RiskPrevailing Strategies for Counterparty Credit Risk ManagementWrong-way and Right-way Exposures or TradesIntroduction to Modeling and Pricing of Counterparty Credit Risk

Keywords: CVA; Credit Valuation Adjustment; Counterparty Credit; BGM Model; HJM Model; RS Model; Martingale; Derivatives Modeling; Martingale Resampling; Orthogonal Exponential Spline; Stat Arb; Nonexploding Bushy Tree; NBT; PRDC; TARN; Snowball; Snowbear; CCDS; Credit Extinguisher (search for similar items in EconPapers)
Date: 2007
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