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

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9780470748466: 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 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.

The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation.

Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

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Brigo, Damiano
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ISBN 10: 047074846X ISBN 13: 9780470748466
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Descrizione libro John Wiley & Sons, Limited. Condizione libro: Brand New. Codice libro della libreria 42770065

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Damiano Brigo
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Descrizione libro Condizione libro: New. Condizione sovraccoperta: New. Shipped promptly and delivered within 3 to 5 working days. For PO BOX, APO, FPO and Puerto Rico addresses delivery done in 20 to 25 working days. Serving customers since 2006. Thousand of satisfied customers!. Codice libro della libreria EXC_9780470748466_Wiley0912_50

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Damiano Brigo (King's College London); Massimo Morini; Andrea Pallavicini (Banca Leonardo)
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Descrizione libro John Wiley and Sons. Condizione libro: New. Brand New. Codice libro della libreria 047074846X

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Descrizione libro 2013. HRD. Condizione libro: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. Codice libro della libreria KB-9780470748466

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Damiano Brigo, Massimo Morini, Andrea Pallavicini
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2013. Hardback. Condizione libro: New. 1. Auflage. 246 x 172 mm. Language: English . Brand New Book. 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. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered. Codice libro della libreria AAS9780470748466

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Damiano Brigo, Massimo Morini, Andrea Pallavicini
Editore: John Wiley and Sons Ltd, United Kingdom (2013)
ISBN 10: 047074846X ISBN 13: 9780470748466
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2013. Hardback. Condizione libro: New. 1. Auflage. 246 x 172 mm. Language: English . Brand New Book. 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. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered. Codice libro della libreria AAS9780470748466

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Descrizione libro John Wiley and#38; Sons, 2013. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470748466

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Descrizione libro 2013. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days. Established seller since 2000. Codice libro della libreria IB-9780470748466

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Andrea Pallavicini; Damiano Brigo; Massimo Morini
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Descrizione libro Wiley, 2013. Hardcover. Condizione libro: New. book. Codice libro della libreria 047074846X

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Damiano Brigo, Massimo Morini, Andrea Pallavicini
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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, Counterparty Credit Risk, Collateral and Funding: with Pricing Cases for All Asset Classes, Damiano Brigo, Massimo Morini, 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. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered. Codice libro della libreria B9780470748466

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