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Counterparty credit risk, collateral and funding : with pricing cases for all asset classes /
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 counte...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex :
John Wiley & Sons Inc.,
2013.
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| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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, incl. |
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| Descripción Física: | 1 online resource. |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9780470661673 0470661674 9780470661789 047066178X 9780470662496 0470662492 047074846X 9780470748466 |