Counterparty Risk and Funding: A Tale of Two Puzzles - Chapman and Hall / CRC Financial Mathematics Series - Stephane Crepey - Books - Taylor & Francis Ltd - 9780367740061 - December 18, 2020
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Stephane Crepey
Counterparty Risk and Funding: A Tale of Two Puzzles - Chapman and Hall / CRC Financial Mathematics Series 1st edition

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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

388 pages

Media Books     Paperback Book   (Book with soft cover and glued back)
Released December 18, 2020
ISBN13 9780367740061
Publishers Taylor & Francis Ltd
Pages 388
Dimensions 150 × 220 × 10 mm   ·   453 g
Language English  

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