Невозможные задачи в рекламе, бизнесе и науке
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Counterparty Credit Risk, Collateral And Funding. With Pricing Cases For All Asset Classes
# 14026483

Counterparty Credit Risk, Collateral And Funding. With Pricing Cases For All Asset Classes

7 843 р.

The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk

Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

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 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

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 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 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

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