Description: Counterparty Risk and Funding : A Tale of Two Puzzles, Paperback by Crépey, Stéphane; Bielecki, Tomasz R.; Brigo, Damiano, ISBN 0367740060, ISBN-13 9780367740061, Like New Used, Free shipping in the US This book 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
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Book Title: Counterparty Risk and Funding : A Tale of Two Puzzles
Author: Crépey, Stéphane; Bielecki, Tomasz R.; Brigo, Damiano
Language: english
