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Counterparty Risk And Funding

A Tale Of Two Puzzles

by Damiano Brigo, Stephane Crepey e Tomasz R. Bielecki
language: english
Publisher: TAYLOR & FRANCIS LTD, December of 2020 ‧
68,93€
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This book explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore

Counterparty Risk And Funding

A Tale Of Two Puzzles

by Damiano Brigo, Stephane Crepey e Tomasz R. Bielecki

Property Description
ISBN: 9780367740061
Publisher: TAYLOR & FRANCIS LTD
Release Date: December of 2020
Language: English
Dimensions: 178 x 254 x 20 mm
Cover: Softcover
Pages: 388
Format: Book
Collection: Chapman And Hall/Crc Financial Mathematics Series
Categories: Books in English > Social Sciences and Humanities > Sociology
Books in English > Others
EAN: 9780367740061