Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo

Counterparty Risk and Funding (eBook, ePUB)

A Tale of Two Puzzles

• Format: ePub

Produktbeschreibung

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 credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 388
• Erscheinungstermin: 23. Juni 2014
• Englisch
• ISBN-13: 9781498785709
• Artikelnr.: 48175736

Autorenporträt

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo