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Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide by Niels Charpillon, John Aquilina, Giovanni Cesari, Zlatko Filipovic, Ion Manda, Gordon Lee (Hardcover, 2010)

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Author: Giovanni Cesari, Ion Manda, Gordon Lee, Zlatko Filipovic, Niels Charpillon, John Aquilina. Format: Hardback. Item Height: 235mm. Country/Region of Manufacture: DE. Language: English. Condition: New.

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Product Information

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 exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.

Product Identifiers

Publisher
Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
ISBN-13
9783642044533
eBay Product ID (ePID)
95456374

Product Key Features

Author
Niels Charpillon, John Aquilina, Giovanni Cesari, Zlatko Filipovic, Ion Manda, Gordon Lee
Publication Name
Modelling, Pricing, and Hedging Counterparty Credit Exposure: a Technical Guide
Format
Hardcover
Language
English
Subject
Accounting, Government, Mathematics, Business
Publication Year
2010
Type
Textbook
Number of Pages
254 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Item Weight
629g

Additional Product Features

Title_Author
Giovanni Cesari, Zlatko Filipovic, Ion Manda, John Aquilina, Gordon Lee, Niels Charpillon
Series Title
Springer Finance
Country/Region of Manufacture
Germany

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Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide by Niels Charpillon, John Aquilina, Giovanni Cesari, Zlatko Filipovic, Ion Manda, Gordon Lee (Hardcover, 2010)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

Best Selling in Adult Learning & University

Permaculture: A Designer's Manual by Bill Mollison (Hardcover, 1988)

Australian Native Bee Book: Keeping Stingless Bee Hives for Pets, Pollination and Sugarbag Honey by Tim Heard (Paperback, 2015)

The Weed Forager's Handbook: A Guide to Edible and Medicinal Weeds in Australia by Adam Grubb, Annie Raser-Rowland (2012, Paperback)

Empire of the Summer Moon: Quanah Parker and the Rise and Fall of the Comanches, the Most Powerful Indian Tribe in American History by S.C. Gwynne (Paperback, 2011)

Botanical Field Guide by Stefan Mager (Fold-out book or chart, 2021)

Linux Basics For Hackers: Getting Started with Networking, Scripting, and Security in Kali by OccupyTheWeb (Paperback, 2018)

The Hundred Years' War on Palestine: A History of Settler Colonial Conquest and Resistance by Rashid I. Khalidi (Paperback, 2020)

Save on Adult Learning & University

The Australian Native Bee Hive Book: Keeping Stingless Sugarbag OATH Tim Heard

Weed Forager's Handbook: A Guide to Edible and Medicinal Weeds in Australia by A

Netter Atlas of Human Anatomy: Classic Regional Approach

The Red Book: Liber Novus by Carl Gustav Jung (English) Hardcover Book

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