[PDF.31fc] Modelling, Pricing, and Hedging Counterparty Credit Exposure: A..* Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda
||1 of 1 people found the following review helpful.| Unified approch toward modeling CCR|By C Park|A very useful book for both reference and as a refresher. It explains topics step by step and provides useful references in case you are interested in delving further in a particular area. A well written book with helpful examples and illustrations to guide you through some of the technical points.|From the Back Cover||Building an accurate representation of firm-wide credit exposure, used for both trading and risk management, raises significant theoretical and technical challenges. This volume can be considered as a roadmap to finding practical solutions
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 assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsh...
[PDF.ml75] Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance) Rating: 4.96 (417 Votes)
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