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Counterparty Risk and Funding

- A Tale of Two Puzzles

af Stephane Crepey

indgår i Chapman and Hall/CRC Financial Mathematics Series serien

Counterparty Risk and Funding af Stephane Crepey
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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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780367740061
  • Indbinding:
  • Paperback
  • Sideantal:
  • 388
  • Udgivet:
  • 18. December 2020
  • Størrelse:
  • 178x254x0 mm.
  • Vægt:
  • 716 g.
  • 2-3 uger.
  • 9. Oktober 2024
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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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