By Damiano Brigo,Massimo Morini,Andrea Pallavicini
The book’s content material is targeted on rigorous and complex quantitative tools for the pricing and hedging of counterparty credits and investment hazard. the hot normal conception that's required for this system is constructed from scratch, resulting in a constant and complete framework for counterparty credits and investment probability, such as collateral, netting principles, attainable debit valuation changes, re-hypothecation and closeout principles. The publication despite the fact that additionally seems to be at rather functional difficulties, linking specific types to specific ‘concrete’ monetary events throughout asset periods, together with rates of interest, FX, commodities, fairness, credits itself, and the rising asset category of longevity.
The authors additionally objective to assist quantitative analysts, investors, and somebody else desiring to border and value counterparty credits and investment probability, to advance a ‘feel’ for utilising refined arithmetic and stochastic calculus to unravel functional problems.
The major versions are illustrated from theoretical formula to ultimate implementation with calibration to marketplace info, continuously preserving in brain the concrete questions being handled. The authors pressure that every version is suited for assorted occasions and items, declaring that there doesn't exist a unmarried version that is uniformly larger than all of the others, even if the issues originated by way of counterparty credits and investment hazard element towards worldwide valuation.
Finally, proposals for restructuring counterparty credits chance, starting from contingent credits default swaps to margin lending, are considered.
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Additional resources for Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (The Wiley Finance Series)
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (The Wiley Finance Series) by Damiano Brigo,Massimo Morini,Andrea Pallavicini