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Counterparty Risk and Funding - Stephane (Universite d'Evry-Val-d'Essonne Crepey - Bog

- A Tale of Two Puzzles

Bag om Counterparty Risk and Funding

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:
  • 453 g.
  • 2-3 uger.
  • 22. januar 2025
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Forlænget returret til d. 31. januar 2025
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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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