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Modelling, pricing, and hedging counterparty credit exposure : a technical guide

Author: Giovanni Cesari
Publisher: Heidelberg ; New York : Springer, ©2009.
Series: Springer finance.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
This volume can be considered as a roadmap to finding practical solutions to the problem of computing counterparty credit exposure for large books of both vanilla and exotic derivatives usually traded by large investment banks.
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Giovanni Cesari
ISBN: 9783642044533 3642044530 9783642044540 3642044549
OCLC Number: 436030912
Description: xx, 254 pages : illustrations (chiefly color) ; 24 cm.
Contents: pt. I: Methodology --
Introduction --
Modelling framework --
Simulation models --
Valuation and sensitivities --
pt. II: Architecture and implementation --
Computational framework --
Implementation --
Architecture --
pt. III: Products --
Interest-rate products --
Equity, commodity, inflation and FX products --
Credit derivatives --
Structures --
pt. IV: Hedging and managing counterparty risk --
Counterparty risk aggregation and risk mitigation --
Combining market and credit risk --
Pricing counterparty credit risk --
Concluding remarks --
A: Approximations --
B: Results from stochastic calculus and finance.
Series Title: Springer finance.
Other Titles: Modeling, pricing, and hedging counterparty credit exposure
Responsibility: Giovanni Cesari [and others].

Abstract:

This volume offers practical solutions to the problem of computing credit exposure for large books of derivatives. It presents a software architecture that allows the computation of credit exposure  Read more...

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