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Modelling, Pricing, and Hedging Counterparty Credit Exposure

Modelling, Pricing, and Hedging Counterparty Credit Exposure

Giovanni Cesari / John Aquilina / Niels Charpillon

209,99 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2012
Materia
Probabilidad y estadística
ISBN:
9783642262081
209,99 €
IVA incluido
Disponible

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Sobre IBD

Methodology.- Modelling Framework.- Simulation Models.- Valuation and Sensitivities.- Architecture and Implementation.- Computational Framework.- Implementation.- Architecture.- Products.- Interest-Rate Products.- Equity, Commodity, Inflation and FX Products.- Credit Derivatives.- Structures.- Hedging and Managing Counterparty Risk.- Counterparty Risk Aggregation and Risk Mitigation.- Combining Market and Credit Risk.- Pricing Counterparty Credit Risk.

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Otros libros del autor

  • Modelling, Pricing, and Hedging Counterparty Credit Exposure
    Giovanni Cesari / John Aquilina / Niels Charpillon
    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...