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Counterparty Risk and Funding

Counterparty Risk and Funding

Damiano Brigo / Stéphane Crépey / Tomasz R. Bielecki

109,75 €
IVA incluido
Disponible
Editorial:
Taylor & Francis Ltd
Año de edición:
2020
Materia
Matemáticas
ISBN:
9780367740061
109,75 €
IVA incluido
Disponible

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Sobre IBD

This book explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore

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