Modelling, Pricing, and Hedging Counterparty Credit Exposure A Technical Guide /

• Main Authors: Cesari, Giovanni (Author), Aquilina, John (Author), Charpillon, Niels (Author), Filipovic, Zlatko (Author), Lee, Gordon (Author), Manda, Ion (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Springer Finance
• Subjects: Business.; Management science.; Economics, Mathematical.; Numerical analysis.; Probabilities.; Statistics.; Business and Management.; Business and Management, general.; Probability Theory and Stochastic Processes.; Numerical Analysis.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...