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Counterparty Credit Risk Modelling
Language: en
Pages: 399
Authors: Michael Pykhtin
Categories: Capital market
Type: BOOK - Published: 2005-01 - Publisher: Riskbooks

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To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehens
Modelling, Pricing, and Hedging Counterparty Credit Exposure
Language: en
Pages: 257
Authors: Giovanni Cesari
Categories: Business & Economics
Type: BOOK - Published: 2009-12-06 - Publisher: Springer Science & Business Media

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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 expo
Counterparty Credit Risk
Language: en
Pages: 449
Authors: Jon Gregory
Categories: Business & Economics
Type: BOOK - Published: 2011-09-07 - Publisher: John Wiley & Sons

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The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the ke
Counterparty Credit Risk, Collateral and Funding
Language: en
Pages: 464
Authors: Damiano Brigo
Categories: Business & Economics
Type: BOOK - Published: 2013-03-05 - Publisher: John Wiley & Sons

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The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new gener
Advances in Credit Risk Modeling and Management
Language: en
Pages: 190
Authors: Frédéric Vrins
Categories: Business & Economics
Type: BOOK - Published: 2020-07-01 - Publisher: MDPI

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Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic natur