Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes
Language: English
Published by Wiley, 2013
- First Edition
- Hardcover
- Used
Seller: Corner of a Foreign Field, Tokyo, TOKYO, JapanCorner of a Foreign Field
AbeBooks seller since September 15, 2015
Condition: Used - Very good
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2013.Hardcover.Very good,very good.435 pages.Ships from Japan.Usually ships in 1-2 working days.
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- Title
- Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes
- Author
- Brigo, Damiano; Morini, Massimo; Pallavicini, Andrea
- Publisher
- Wiley
- Publication year
- 2013
- Condition
- Very Good
- Dust jacket
- Very Good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 047074846X
- ISBN 13
- 9780470748466
- Edition
- 1st Edition
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.
"Synopsis" may belong to another edition of this title.
About the Author
Massimo Morini (Milan, Italy) is Head of Credit Models and Coordinator of Model Research at IMI Bank, where he is responsible for the development and validation of new models for Interest Rates, Credit, Equity and Hybrids including at times Inflation and FX. He is also Professor of Fixed Income, Bocconi University. Previously, he has held positions as Senior Front Office Quantitative Analyst for credit derivatives and Senior Internal consultant for interest rate derivatives and models. He has served as a consultant for Banco Del Bilbao, Dexia Bank and KPMG, and regularly runs training courses on quantitative finance topics, and speaks on the quant conference circuit. Massimo holds a PhD in Mathematics and an MSc in Economics and Business with Quantitative finance specialization.
Andrea Pallavicini (Milan, Italy) is Head of Financial Engineering at Banca Leonardo. He has published several academic and practitioner-oriented articles in financial modelling, theoretical physics and astrophysics journals. He has taught in Master courses in finance at the University of Pavia and at the University of Milan.
"About the title" may belong to another edition of this title.
Corner of a Foreign Field
Tokyo, TOKYO, Japan
AbeBooks seller since September 15, 2015
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Corner of a Foreign Field
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