Modelling, pricing, and hedging counterparty credit exposure: a technical guide
Auteur :
Cesari, Giovanni / Aquilina, John / Charpillon, Niels / Filipovic, Zlatko / Lee, Gordon / Manda, Ion
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783642044533
Date de publication :
12 janv. 2010
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
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.