Description: Counterparty Risk and Funding : A Tale of Two Puzzles, Hardcover by Crépey, Stéphane; Bielecki, Tomasz R.; Brigo, Damiano (INT), ISBN 1466516453, ISBN-13 9781466516458, Brand New, Free shipping in the US Intended for researchers and graduate students in financial mathematics, this volume offers "an analytical basis for the quantitative methodology of dynamic valuation, mitigation and hedging of bilateral counterparty risk on OTC derivative contracts under funding constraints" (from the preface). The two puzzles alluded to in the title pertain to the dependence structure and the DVA/FVA overlap, and the top-down versus bottom-up portfolio credit modeling puzzle--to which a solution is necessary in order to deal with counterparty risk on credit derivatives. Annotation ©2014 Ringgold, Inc., Portland, OR ()
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Book Title: Counterparty Risk and Funding : A Tale of Two Puzzles
Number of Pages: 388 Pages
Language: English
Publication Name: Counterparty Risk and Funding : a Tale of Two Puzzles
Publisher: CRC Press LLC
Subject: Probability & Statistics / General, Finance / General, General
Item Height: 0.8 in
Publication Year: 2014
Type: Textbook
Item Weight: 34.4 Oz
Author: Tomasz R. Bielecki, Stéphane Crépey, Damiano Brigo
Subject Area: Mathematics, Business & Economics
Item Length: 10.2 in
Item Width: 7.3 in
Series: Chapman and Hall/Crc Financial Mathematics Ser.
Format: Hardcover
