Counterparty Credit Risk, Collateral and Funding

by Damiano Brigo, Dr Damiano Brigo, Massimo Morini, et al.

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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...

Format:Hardcover

Language:English

ISBN:047074846X

ISBN13:9780470748466

Release Date:April 2013

Publisher:Wiley

Length:464 Pages

Weight:2.05 lbs.

Dimensions:1.3" x 6.9" x 10.0"

Related Subjects

Business Business & Investing

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Counterparty Credit Risk, Collateral and Funding

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