Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes by Damiano Brigo, Massimo Morini and Andrea Pallavicini

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.

Ebook format: PDF
Ebook page: 465
File size: 17.54 MB

$25.00