Modelling, pricing, and hedging counterparty credit exposure : a technical guide
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 to the problem of modelling, pricing, and hedging counterpar...
Guardado en:
| Autores principales: | , , , , |
|---|---|
| Formato: | Livre numérique |
| Lenguaje: | Anglais |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edición: | 1st ed. 2009. |
| Colección: | Springer Finance
|
| Materias: | |
| Acceso en línea: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 13 février 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Modelling, pricing, and hedging counterparty credit exposure, a technical guide, by Giovanni Cesari, John Aquilina, Niels Charpillon ... [et al.], Heidelberg, Springer, 2009, 1 vol. (XX-254 p.), Springer finance, 978-3-642-04453-3 • Modelling, Pricing, and Hedging Counterparty Credit Exposure, Texte imprimé, 9783642044847 • Modelling, Pricing, and Hedging Counterparty Credit Exposure, Texte imprimé, 9783642262081 • Modelling, pricing, and hedging counterparty credit exposure, a technical guide, by Giovanni Cesari, John Aquilina, Niels Charpillon ... [et al.], Heidelberg, Springer, 2009, 1 vol. (XX-254 p.), Springer finance, 978-3-642-04453-3 |
Tabla de Contenidos:
- 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