2010, ISBN: 9783642044533
[ED: Hardcover], [PU: Springer / Springer Berlin Heidelberg / Springer, Berlin], It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to c… Mehr…
booklooker.de buecher.de GmbH & Co. KG Versandkosten:Versandkostenfrei, Versand nach Deutschland. (EUR 0.00) Details... |
2005, ISBN: 9783642044533
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 de… Mehr…
Springer.com Nr. 978-3-642-04453-3. Versandkosten:Worldwide free shipping, , DE. (EUR 0.00) Details... |
Modelling, Pricing, and Hedging Counterparty Credit Exposure / A Technical Guide / Giovanni Cesari (u. a.) / Buch / Springer Finance / HC runder Rücken kaschiert / xx / Englisch / 2010 - gebunden oder broschiert
2010, ISBN: 9783642044533
[ED: Gebunden], [PU: Springer Berlin], 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… Mehr…
booklooker.de |
Modelling, Pricing, and Hedging Counterparty Credit Exposure | A Technical Guide | Giovanni Cesari (u. a.) | Buch | Springer Finance | HC runder Rücken kaschiert | xx | Englisch | 2010 - gebunden oder broschiert
2010, ISBN: 9783642044533
[ED: Gebunden], [PU: Springer Berlin], 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… Mehr…
booklooker.de |
2010, ISBN: 9783642044533
*Modelling Pricing and Hedging Counterparty Credit Exposure* - A Technical Guide. Auflage 2010 / gebundene Ausgabe für 149.99 € / Aus dem Bereich: Bücher, Wissenschaft, Wirtschaftswissens… Mehr…
Hugendubel.de Versandkosten:Shipping in 7 days, , Versandkostenfrei nach Hause oder Express-Lieferung in Ihre Buchhandlung., DE. (EUR 0.00) Details... |
2010, ISBN: 9783642044533
[ED: Hardcover], [PU: Springer / Springer Berlin Heidelberg / Springer, Berlin], It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to c… Mehr…
2005, ISBN: 9783642044533
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 de… Mehr…
Modelling, Pricing, and Hedging Counterparty Credit Exposure / A Technical Guide / Giovanni Cesari (u. a.) / Buch / Springer Finance / HC runder Rücken kaschiert / xx / Englisch / 2010 - gebunden oder broschiert
2010
ISBN: 9783642044533
[ED: Gebunden], [PU: Springer Berlin], 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… Mehr…
Modelling, Pricing, and Hedging Counterparty Credit Exposure | A Technical Guide | Giovanni Cesari (u. a.) | Buch | Springer Finance | HC runder Rücken kaschiert | xx | Englisch | 2010 - gebunden oder broschiert
2010, ISBN: 9783642044533
[ED: Gebunden], [PU: Springer Berlin], 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… Mehr…
2010, ISBN: 9783642044533
*Modelling Pricing and Hedging Counterparty Credit Exposure* - A Technical Guide. Auflage 2010 / gebundene Ausgabe für 149.99 € / Aus dem Bereich: Bücher, Wissenschaft, Wirtschaftswissens… Mehr…
Bibliographische Daten des bestpassenden Buches
Autor: | |
Titel: | |
ISBN-Nummer: |
Detailangaben zum Buch - Modelling Pricing and Hedging Counterparty Credit Exposure
EAN (ISBN-13): 9783642044533
ISBN (ISBN-10): 3642044530
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2010
Herausgeber: Springer Berlin Heidelberg
254 Seiten
Gewicht: 0,559 kg
Sprache: eng/Englisch
Buch in der Datenbank seit 2007-03-01T16:20:59+01:00 (Berlin)
Detailseite zuletzt geändert am 2024-03-19T03:20:43+01:00 (Berlin)
ISBN/EAN: 9783642044533
ISBN - alternative Schreibweisen:
3-642-04453-0, 978-3-642-04453-3
Alternative Schreibweisen und verwandte Suchbegriffe:
Autor des Buches: filipovic, aquilina, niel, john lee, gordon, giovanni, niels, ion, filip, cha, fil filipov, zlatko
Titel des Buches: springer, exposure, hedging, modelling guide, modell techn
Daten vom Verlag:
Autor/in: Giovanni Cesari; John Aquilina; Niels Charpillon; Zlatko Filipovic; Gordon Lee; Ion Manda
Titel: Springer Finance; Modelling, Pricing, and Hedging Counterparty Credit Exposure - A Technical Guide
Verlag: Springer; Springer Berlin
254 Seiten
Erscheinungsjahr: 2010-01-12
Berlin; Heidelberg; DE
Sprache: Englisch
160,49 € (DE)
164,99 € (AT)
177,00 CHF (CH)
Available
XX, 254 p. 70 illus.
BB; Hardcover, Softcover / Wirtschaft/Management; Betriebswirtschaft und Management; Verstehen; Sozialwissenschaften, Soziologie; Credit Derivatives; Hedging; Investment; Measure; Portfolio; Rating; quantitative finance; Business and Management; Probability Theory; Numerical Analysis; Mathematics in Business, Economics and Finance; Statistics in Business, Management, Economics, Finance, Insurance; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Numerische Mathematik; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC
Building an accurate representation of firm-wide credit exposure, used for both trading and risk management, raises significant theoretical and technical challenges. This volume can be considered as a roadmap to finding practical solutions to the problem of modelling, pricing, and hedging counterparty credit exposure for large portfolios of both vanilla and exotic derivatives, usually traded by large Investment Banks. It is divided into four parts, (I) Methodology, (II) Architecture and Implementation, (III) Products, and (IV) Hedging and Managing Counterparty Risk. Starting from a generic modelling and valuation framework based on American Monte Carlo techniques, it presents a software architecture, which, with its modular design, allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way. An essential part of the design is the definition of a programming language, which allows trade representation based on dynamic modelling features. Several chapters are then devoted to the analysis of credit exposure across all asset classes, namely foreign exchange, interest rate, credit derivatives and equity. Finally it considers how to mitigate and hedge counterparty exposure. The crucial question of dynamic hedging is addressed by constructing a hybrid product, the Contingent-Credit Default Swap. This volume addresses, from a quantitative perspective, recent developments related to counterparty credit exposure computation. Its unique characteristic is the combination of a rigorous but simple mathematical approach with a practical view of the financial problem at hand. "...a fantastic book that covers all aspects of credit exposure modelling. Nowhere else can the interested reader find such a comprehensive collection of insights around this topic covering methodology, implementation, products and applications. A "must read" for practitioners and quants working in this space." JörgBehrens, Fintegral Consulting, CH "In the aftermath of the credit crunch, nobody will need convincing of the importance of managing counterparty risk. This unique book provides a consistent approach to the subject, taken all the way from underlying concepts to the nuts and bolts of computer architecture. It opens up many avenues for future research and throws down a challenge to the industry at large: any organization whose techniques are not at least as good as the ones described here had better shape up!" Mark Davis, Imperial College London, UK "…impressive mathematical monograph … first unified and comprehensive approach to pricing and measuring counterparty credit exposures and, therefore, an essential must-have for all quantitatively oriented credit risk manager, academic researchers, and mathematics students alike … takes into account a unified approach for modelling the future economic scenarios across all asset classes under risk-neutral measure while generating a theoretic as well as technical framework for calculating credit and debit valuation adjustments … easily adapted to calculating the price of credit risk … flexible enough to price complex and hybrid financial derivatives in a completely scenario consistent way. These features make the book an absolutely outstanding and highly recommendable treatise…" Marcus R.W. Martin, Darmstadt University of Applied Sciences, DRoadmap to finding practical solutions to the problem of computing counterparty credit exposure for large books of both vanilla and exotic derivatives usually traded by large Investment Banks Combines a rigorous but simple mathematical approach with a practical view of the financial problem at hand Includes supplementary material: sn.pub/extras
Weitere, andere Bücher, die diesem Buch sehr ähnlich sein könnten:
Neuestes ähnliches Buch:
9783642044847 Modelling, Pricing, and Hedging Counterparty Credit Exposure (Giovanni Cesari; John Aquilina; Niels Charpillon)
- 9783642044847 Modelling, Pricing, and Hedging Counterparty Credit Exposure (Giovanni Cesari; John Aquilina; Niels Charpillon)
- 9783642044540 Modelling Pricing and Hedging Counterparty Credit Exposure (John Aquilina/ Giovanni Cesari/ Niels Charpillon/ Zlatko Filipovic/ Gordon Lee)
- 9783642262081 Modelling Pricing and Hedging Counterparty Credit Exposure (John Aquilina/ Giovanni Cesari/ Niels Charpillon/ Zlatko Filipovic/ Gordon Lee)
< zum Archiv...