Counterparty risk and funding: a tale of two puzzles
Auteur :
Crépey, Stéphane / Bielecki, Tomasz R. / Brigo, Damiano
Éditeur :
Taylor & Francis Ltd
ISBN :
9780367740061
Date de publication :
18 déc. 2020
Dimensions :
25,4 x 17,8 cm
Poids :
453 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
This book explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore