The credit crisis that started in 2007, with the collapse of well-established financial institutions and the bankruptcy of many public corporations, has clearly shown the importance for any company entering the derivative business of modelling, pricing, and hedging its counterparty credit exposure.

Preface

Glossary
Abbreviations and Notation
Part I: Methodology
1.Introduction
2.Modelling Framework
3.Simulation Models
4.Valuation and Sensitivities
Part II: Architecture and Implementation
5.Computational Framework
6.Implementation
7.Architecture
Part III: Products
8.Interest Rate Products
9.Equity, Commodity, Inflation and FX Products
10.Credit Derivatives
11.Hybrids and Structures
Part IV: Hedging and Managing Counterparty Risk
12.Counterparty Risk Aggregation and Risk Mitigation
13.Combining Market and Credit Risk
14.Pricing Counterparty Credit Risk
Apendix: Approximations
References
Index.