Counterparty Credit Risk, Collateral and Funding

by Damiano Brigo, Dr Damiano Brigo, Massimo Morini, et al.

Book Overview

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 general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book...

• Format: Hardcover
• Language: English
• ISBN: 047074846X
• ISBN13: 9780470748466
• Release Date: April 2013
• Publisher: Wiley
• Length: 464 Pages
• Weight: 2.05 lbs.
• Dimensions: 1.3" x 6.9" x 10.0"