Counterparty credit risk, collateral and funding : with pricing cases for all asset classes /
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 counte...
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| Other Authors: | , |
| Format: | eBook |
| Language: | English |
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Chichester, West Sussex :
John Wiley & Sons Inc.,
2013.
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| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| 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, incl. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (465 pages) |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780470662496 (electronic bk.) 0470662492 (electronic bk.) |