Год выпуска: 2010 Автор: Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda Издательство: Страниц: 254 ISBN: 3642044530
Описание
The credit crisis that started in 2007, with the collapse of well-established financial institutions and the bankruptcy of many public corporations, has clearly shown the importance for any company entering the derivative business of modelling, pricing, and hedging its counterparty credit exposure. Building an accurate representation of firm-wide credit exposure, for both risk and trading activities, is a significant challenge from the technical as well as the practical point of view. This volume can be considered as a roadmap 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. 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 simulation framework based on American Monte Carlo techniques, it presents a software...
