Counterparty Risk and Funding: A Tale of Two Puzzles
(Bog, Paperback / softback, Engelsk)
Forlag:
Taylor & Francis Ltd
- Type: Bog
- Format: Paperback / softback
-
Sprog:
Engelsk
- ISBN-13: 9780367740061
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Formater og udgaver
Beskrivelse
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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Alle detaljer
| Forlag | Taylor & Francis Ltd |
| Forfattere | Stephane Crepey, Tomasz R. Bielecki, Damiano Brigo |
| Type | Bog |
| Format | Paperback / softback |
| Sprog | Engelsk |
| Udgivelsesdato | 18-12-2020 |
| Første udgivelsesår | 2020 |
| Serie | Chapman and Hall/CRC Financial Mathematics Series |
| Originalsprog | United Kingdom |
| Sideantal | 388 |
| Indbinding | Paperback / softback |
| Forlag | Taylor & Francis Ltd |
| Sideoplysninger | 388 pages |
| Mål | 254 x 178 |
| ISBN-13 / EAN-13 | 9780367740061 |