Compare Prices | Create Shopping Lists with Price Drop Alerts | Set Coupons, Promo Codes & Sales Alerts | Get Access to Exclusive Deals and Much More... All in One Place | Read all about it here

Modelling, Pricing, and Hedging Counterparty Credit Exposure

Modelling, Pricing, and Hedging Counterparty Credit Exposure

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783642044540
Condition
New
Product 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.

Available Colors
Available Sizes
1 Offer Price Range: $129.00 - $129.00
BEST PRICE

Single Product Purchase

$129.00
@ Link.springer.com     BUY Now

Price Comparison

Seller Contact Seller List Price On Sale Shipping Best Promo Final Price Volume Discount Financing Availability Seller's Page
BEST PRICE
1 Product Purchase
@ Link.springer.com
Contact Store Call Store Contact Support
$129.00 $129.00

$129.00
See Site In stock Visit Store

Similar Products

Ecole d'Ete de Probabilites de Saint-Flour XI, 1981

$44.99

Bullies, Victims, and Bystanders

$44.99

Mathematical Computing

$39.99

Evaluation einer Therapievorbereitungsstation

$29.99

Analyse kointegrierter Variablen mittels vektorautoregressiver Modelle

$74.99

Dynamics of Energy, Environment and Economy

$179.99

State Recognition and Democratization in Sub-Saharan Africa

$54.99

Sustainable Development of Water and Environment

$249.99

Coalition Government Penal Policy 20102015

$54.99

Der kanonische Modul eines Cohen-Macaulay-Rings

$29.99

Modernes Regieren und Konsens

$69.99

Signal Transduction in Plants

$84.99

Dilemmas in ERCP

$89.00

Tokyo as a Global City

$139.00

Grenzen der Metropole

$34.99

The Earths Density

$54.99

Interdisciplinary Analyses of Professional Basketball

$159.99

Stability Theory and the Existence of Periodic Solutions and Almost Periodic Solutions

$54.99

Kooperationsplattformen fr das Supply Chain Management

$64.99

Die Sections-Technik im Leichenhause des Charit-Krankenhauses mit besonderer Rcksicht auf gerichts

$74.99

Kartellrechtliche Probleme des Umwandlungsgesetzes

$74.99

Microbial Activity in the Rhizosphere

$129.00

Ergnzungsheft zum Referatenteil der Monatsschrift fr Unfallheilkunde

$59.99

Drug Adherence in Hypertension and Cardiovascular Protection

$79.99

Strengthening Information and Control Systems

$109.99

Symmetrien und Gruppen in der Teilchenphysik

$59.99

Basic Theoretical Research on Marxist Philosophy

$119.99

Conference Proceedings of 2022 2nd International Joint Conference on Energy, Electrical and Power En

$349.00

In Godzilla's Footsteps

$54.99

Pituitary Tumors

$79.99

Disability Inclusion and Inclusive Education

$109.99

Cyberpsychology as Everyday Digital Experience across the Lifespan

$119.99

bungsaufgaben aus der Technischen Mechanik

$69.99

Circadian Clocks: Role in Health and Disease

$99.00

Architecture and Interaction

$109.99

Ibis

$3.74

Data Assimilation for Atmospheric, Oceanic and Hydrologic Applications (Vol. III)

$169.00

The Management of Public Utilities by Local Authorities II

$54.99

Fluvial Processes: Theory and Applications

$219.99

Initiales Vertrauen in die Fhrungskraft

$59.99