Counterparty Credit Risk Modelling

SECTION 1: RISK MANAGEMENT AT COUNTERPARTY LEVEL

1 Modelling Stochastic Counterparty Credit Exposures for Derivatives Portfolios

Ben De Prisco, Algorithmics Inc; Dan Rosen, Fields Institute for Research in Mathematical Sciences

2 Measuring Counterparty Credit Exposure to a Margined Counterparty

Michael Gibson, Federal Reserve Board

3 Modelling Collateral for Credit Exposures: a Structural Approach

Didier Cossin and Tomas Hricko, IMD

4 A Conditional Valuation Approach for Path-Dependent Instruments

Dante Lomibao and Steven Zhu, Bank of America

5 Modelling Counterparty Credit Exposure for Credit Default Swaps

Christian Hille, John Ring and Hideki Shimamoto, Nomura International

Risk Management at Portfolio Level

SECTION 2: RISK MANAGEMENT AT PORTFOLIO LEVEL

6 Calculating and Hedging Exposure, Credit Value Adjustment and Economic Capital for Counterparty Credit Risk

Evan Picoult, Citigroup

7 Analytic Methods for Portfolio Counterparty Credit Risk

Tom Wilde, Credit Suisse First Boston

SECTION 3: REGULATORY CAPITAL

8 Analysis of Basel II Treatment of Counterparty Credit Risk

Marcus Fleck and Andreas Schmidt, Dresdner Bank

9 Risk-Sensitive Regulatory Capital Rules for Hedged Credit Exposures

Erik Heitfield, FRB; Steven Burton, FDIC; Souphala Chomsisengphet, OCC

Pricing and Hedging

SECTION 4: PRICING

10 Risk Neutral Pricing of Counterparty Risk

Damiano Brigo and Massimo Masetti, Banca IMI

11 The Pricing Implications of Counterparty Risk for Non-Linear Credit Products

Stuart Turnbull, University of Houston

12 Pricing Counterparty Risk in Unfunded Synthetic CDO Tranches

Dmitry Pugachevsky, Bear Stearns