Giovanni Barone Adesi's Books

Simulating Security Returns

A Filtered Historical Simulation Approach

By: Giovanni Barone Adesi

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Simulating Security Returns

A Filtered Historical Simulation Approach

By: Giovanni Barone Adesi

Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community. Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the returns of large portfolios of securities. While other simulation methods use the covariance matrix of security returns, which suffers the curse of dimensionality even for modest portfolios, Barone Adesi demonstrates how FHS can accurately adjust to current market conditions.

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Page Count

124

Publisher

Springer

Published Date

ISBN 10

1137465557

ISBN 13

9781137465559

Simulating Security Returns

A Filtered Historical Simulation Approach

By: Giovanni Barone Adesi

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Simulating Security Returns

A Filtered Historical Simulation Approach

By: Giovanni Barone Adesi

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183

Publisher

Springer

Published Date

ISBN 10

1137465557

ISBN 13

9781137465559

Structured Finance

The Object Oriented Approach

By: Umberto Cherubini,Giovanni Della Lunga

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Structured Finance

The Object Oriented Approach

By: Umberto Cherubini,Giovanni Della Lunga

Structured Finance: The Object Orientated Approach is aimed at both the finance and IT professionals involved in the structured finance business with the intention of sharing common concepts and language within the industry. The financial community (structurers, pricers and risk managers) view structured products as collections of objects under the so-called replicating portfolio paradigm. The IT community use object oriented programming (OOP) techniques to improve the software updating and maintenance process. For them structured products are collections of objects as well. Despite use of the same object concept, it looks like communication between these different professional functions has been problematic. Recently, construction of standard data structures known as FpML has begun to lay out a common definition of objects, at least for plain vanilla derivatives, both between IT and financial people and across different market players. Along this line, this book builds upon the concept of object to provide frontier treatment of structured finance issues relevant to both communities engaged in building, pricing and hedging products and people engaged in designing and up-dating the corresponding software. Structured Finance: The Object Orientated Approach will enable you to: decompose a structured product in elementary constituent financial objects and risk factors (replicating portfolio) understand the basics of object oriented programming (OOP) applied to the design of structured cash flows objects build your own objects and to understand FpML data structures available for standard products gauge risk exposures of the objects in structured products to: risk factors, their volatilities and the correlation among them (which factor are you long/short? Are you long/short volatility? Are you long/short correlation?) update your risk management system to accommodate structured products with non linear exposures and to design objects to represent, price and hedge, counterparty risk

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Page Count

298

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470512725

ISBN 13

9780470512722

Modelling, Pricing, and Hedging Counterparty Credit Exposure

A Technical Guide

By: Giovanni Cesari,John Aquilina,Niels Charpillon,Zlatko Filipovic,Gordon Lee,Ion Manda

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Modelling, Pricing, and Hedging Counterparty Credit Exposure

A Technical Guide

By: Giovanni Cesari,John Aquilina,Niels Charpillon,Zlatko Filipovic,Gordon Lee,Ion Manda

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.

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Age

Page Count

257

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3642044549

ISBN 13

9783642044540

Book's by Giovanni Barone Adesi

Simulating Security Returns

Simulating Security Returns

Simulating Security Returns

Simulating Security Returns

Structured Finance

Structured Finance

Modelling, Pricing, and Hedging Counterparty Credit Exposure

Modelling, Pricing, and Hedging Counterparty Credit Exposure

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