Counterparty Credit Risk, Collateral and Funding High quality books
Counterparty Credit Risk, Collateral and Funding
By:Damiano Brigo,Massimo Morini,Andrea Pallavicini
Published on 2013-03-05 by John Wiley & Sons
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, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.
This Book was ranked at 19 by Google Books for keyword Fiat.
Book ID of Counterparty Credit Risk, Collateral and Funding's Books is Y-X9zqVcOFkC, Book which was written byDamiano Brigo,Massimo Morini,Andrea Pallavicinihave ETAG "d0rOzgXXi/k"
Book which was published by John Wiley & Sons since 2013-03-05 have ISBNs, ISBN 13 Code is 9780470661789 and ISBN 10 Code is 047066178X
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Book which have "464 Pages" is Printed at BOOK under CategoryBusiness and Economics
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