Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance) - Image 1

£87.99

Springer Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

Name: Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)
Brand: Springer
Price: 87.99 GBP
Availability: InStock

Numbers

It has never been this cheap. We have no record of a lower price.

£88 today · cheaper than every other day in the last 3 months

NEW HERE?

Amazon shows you one price. We show you all of them.

Tosheroon watches Amazon prices so you don't have to. Every product on Amazon has a price history — we make it visible. Set the price you'd actually pay, and we'll email you the second it gets there. No app, no account, one email.

WHAT'S ON THIS PAGE

↓ Price chart
when this has been cheap or pricey

↓ Forecast
where the price is heading next

↓ Statistics
all-time high & low, recent range

↑ Price alert
name your number, we'll email you

Price History & Forecast

Grey patches = out of stock. Cheaper = lower on the chart. Hover for exact prices.

Last 55 days · 55 data points (no recent data)

Historical

Generating forecast…

Price Distribution

Price distribution over 55 days • 2 price levels

Days at Price

Current Price

Price Analysis

Most common price: £88 (32 days, 58.2%)

Price range: £88 - £115

Price levels: 2 different prices over 55 days

Description

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 3642262082
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Numbers
Domain: Amazon UK
Publication Date: 01 March 2012
Listed Since: 14 February 2012

Barcode

No barcode data available

Springer Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

It has never been this cheap. We have no record of a lower price.

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

The Handbook of Credit Derivaties (McGraw-Hill Library of Investment and Finance)

Counterparty Credit Risk

Springer Credit Risk Valuation: Methods, Models, and Applications

Credit Correlation: Theory and Practice (Applied Quantitative Finance)

Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series)

Credit Derivatives Pricing Models: Models, Pricing and Implementation: 235 (The Wiley Finance Series)

Post-crisis Quant Finance

Swaps and Other Derivatives: 480 (The Wiley Finance Series)

Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management (Wiley Finance)

The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin, 4th Edition

Foundations of Global Financial Markets and Institutions (The MIT Press)

Counterparty Risk and Funding: A Tale of Two Puzzles (Chapman and Hall/CRC Financial Mathematics Series)

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution, Transition, and Implementation (Applied Quantitative Finance)

Credit Correlation: Life after Copulas

The Politics of Regime Complexity in International Derivatives Regulation

Managing Bank Risk: An Introduction to Broad-Base Credit Engineering

Credit Derivatives: The Definitive Guide

Credit Derivatives and Structured Credit Trading (Wiley Finance)

Modern Financial Techniques, Derivatives and Law (International Banking, Finance and Economic Law Series Set)

Derivative Pricing and Credit Exposures Modelling: Python Prototype of XVA for Practitioners (2.0)