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, Like New Used, 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
Publication Name: Counterparty Risk and Funding : a Tale of Two Puzzles
Language: English
Publisher: CRC Press LLC
Publication Year: 2014
Item Height: 0.8 in
Subject: Probability & Statistics / General, Finance / General, General
Item Weight: 34.4 Oz
Type: Textbook
Item Length: 10.2 in
Subject Area: Mathematics, Business & Economics
Author: Tomasz R. Bielecki, Stéphane Crépey, Damiano Brigo
Series: Chapman and Hall/Crc Financial Mathematics Ser.
Item Width: 7.3 in
Format: Hardcover
