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Item Details
| Title:
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COUNTERPARTY CREDIT RISK, COLLATERAL AND FUNDING
WITH PRICING CASES FOR ALL ASSET CLASSES |
| By: |
Damiano Brigo, Massimo Morini, Andrea Pallavicini |
| Format: |
Hardback |
| List price:
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£65.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
047074846X |
| ISBN 13: |
9780470748466 |
| Publisher: |
JOHN WILEY AND SONS LTD |
| Pub. date: |
15 March, 2013 |
| Series: |
Wiley Finance Series |
| Pages: |
464 |
| Description: |
* The book's content is focused on quantitative methods of tackling valuation problems, supplying sound theoretical frameworks for the pricing and hedging of counterparty risk, linking particular models to particular 'concrete' financial situations. |
| Synopsis: |
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. |
| Illustrations: |
illustrations |
| Publication: |
UK |
| Imprint: |
John Wiley & Sons Ltd |
| Returns: |
Returnable |
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Ramadan and Eid al-Fitr
A celebratory, inclusive and educational exploration of Ramadan and Eid al-Fitr for both children that celebrate and children who want to understand and appreciate their peers who do.
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