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...
Κύριοι συγγραφείς: | , , , , , |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2009.
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Σειρά: | Springer Finance
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.