Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

Name: Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)
Author: Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda
ISBN: 9783642262081

Author Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda

Publisher Springer

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Book Details

Author(s)Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda

PublisherSpringer

ISBN / ASIN3642262082

ISBN-139783642262081

AvailabilityUsually ships in 24 hours

Sales Rank7,917,380

MarketplaceUnited States 🇺🇸

Description ▲

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 in a portfolio-aggregated and scenario-consistent way.