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The Resource Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini

Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini

Label
Counterparty credit risk, collateral and funding : with pricing cases for all asset classes
Title
Counterparty credit risk, collateral and funding
Title remainder
with pricing cases for all asset classes
Statement of responsibility
Damiano Brigo, Massimo Morini, Andrea Pallavicini
Creator
Contributor
Author
Subject
Language
eng
Summary
"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, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. 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 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 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. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered"--provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorDate
1966-
http://library.link/vocab/creatorName
Brigo, Damiano
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Morini, Massimo
  • Pallavicini, Andrea
http://library.link/vocab/subjectName
  • Finance
  • Credit
  • Credit derivatives
  • Financial risk
Label
Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages [415]-421) and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Control code
FIEb17326667
Dimensions
26 cm.
Extent
xxvii, 435 pages
Isbn
9780470748466
Media category
unmediated
Media MARC source
rdamedia.
Other physical details
illustrations
System control number
(OCoLC)824119627
Label
Counterparty credit risk, collateral and funding : with pricing cases for all asset classes, Damiano Brigo, Massimo Morini, Andrea Pallavicini
Publication
Bibliography note
Includes bibliographical references (pages [415]-421) and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Control code
FIEb17326667
Dimensions
26 cm.
Extent
xxvii, 435 pages
Isbn
9780470748466
Media category
unmediated
Media MARC source
rdamedia.
Other physical details
illustrations
System control number
(OCoLC)824119627

Library Locations

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      43.803074 11.283055
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