Counterparty Risk and Funding
Language: English
Published by Taylor & Francis Group, 2014
Series: Book 26 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
- New
Seller: Books Puddle, Woodside, NY, U.S.A.Books Puddle
AbeBooks seller since November 22, 2018
Condition: New
£ 252.51
Quantity: 3 available
Add to basketItem description from seller
pp. 388.
Seller Inventory # 2697292176
- Title
- Counterparty Risk and Funding
- Author
- Damiano Brigo Tomasz R. Bielecki St?phane Cr?pey
- Publisher
- Taylor & Francis Group
- Publication year
- 2014
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1466516453
- ISBN 13
- 9781466516458
- Series
- Book 26 of 71: Chapman and Hall/CRC Financial Mathematics
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk
Counterparty Risk and Funding: A Tale of Two Puzzles 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 credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral.
The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas.
The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.
"Synopsis" may belong to another edition of this title.
About the Author
Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo
"About the title" may belong to another edition of this title.
Books Puddle
Woodside, NY, U.S.A.
AbeBooks seller since November 22, 2018
Shipping rates within U.S.A.
| Item | 12 to 19 business days | 12 to 14 business days |
|---|---|---|
| First item | £ 3.01 | £ 5.27 |
Payment methods
Store description
I mainly carry imported books from South East Asia / South Asia for readers of all Age Groups.
Specialty
South Asian and South East Asian Culture, Religion, Art etcSeller's business information
PLETOS INC
6931 51st Avenue, WOODSIDE
Woodside, NY U.S.A. 11377
Terms of sale
We accept return for those books which are received damamged. Though we take appropriate care in packaing to avoid such situation.
Right of withdrawal
If you are a consumer you can withdraw from the contract in accordance with the following. Consumer means any natural person who is acting for purposes which are outside his trade, business, craft or profession.
Information regarding the right of withdrawal
Statutory right to withdraw
You have the right to withdraw from this contract within 14 days without giving any reason.
The withdrawal period will expire after 14 days from the day on which you acquire, or a third party other than the carrier and indicated by you acquires, physical possession of the last good or the last lot or piece.
To exercise the right of withdrawal, electronically fill in and submit a clear statement on our website, under "My Purchases" in "My Account". We will communicate to you an acknowledgement of receipt of such a withdrawal on a durable medium (e.g. by e-mail) without delay.
To meet the withdrawal deadline, it is sufficient for you to send your communication concerning your exercise of the right of withdrawal before the withdrawal period has expired.
Effects of withdrawal
If you withdraw from this contract, we will reimburse to you all payments received from you, including the costs of delivery (except for the supplementary costs arising if you chose a type of delivery other than the least expensive type of standard delivery offered by us).
We may make a deduction from the reimbursement for loss in value of any goods supplied, if the loss is the result of unnecessary handling by you.
We will make the reimbursement without undue delay, and not later than 14 days after the day on which we are informed about your decision to withdraw from this contract.
We will make the reimbursement using the same means of payment as you used for the initial transaction, unless you have expressly agreed otherwise; in any event, you will not incur any fees as a result of such reimbursement.
We may withhold reimbursement until we have received the goods back, or you have supplied evidence of having sent back the goods, whichever is the earliest.
You shall send back the goods or hand them over to Books Puddle, Woodside, New York, U.S.A., without undue delay and in any event not later than 14 days from the day on which you communicate your withdrawal from this contract to us. The deadline is met if you send back the goods before the period of 14 days has expired. You will have to bear the direct cost of returning the goods. You are only liable for any diminished value of the goods resulting from the handling other than what is necessary to establish the nature, characteristics and functioning of the goods.
Exceptions to the right of withdrawal
The right of withdrawal does not apply to:
- The delivery of newspapers, journals or magazines with the exception of subscription contracts; and
- The supply of digital content which is not supplied on a tangible medium (e.g. on a CD or DVD) if you accepted when you placed your order that we could start to deliver it, and that you could not withdraw once delivery had started.