Counterparty risk and funding : a tale of two puzzles

• Tác giả: Tomasz R Bielecki, Damiano Brigo, Crépey Stéphane
• Ngôn ngữ: eng
• ISBN-10: 1466516461
• ISBN-13: 978-1466516465
• Ký hiệu phân loại: 332.6 Investment
• Thông tin xuất bản: Boca Raton, FL : CRC Press, 2014
• Mô tả vật lý: 1 online resource (xxi, 355 pages) : , illustrations.
• Bộ sưu tập: Xã hội, kinh tế, luật
• ID: 157819
• Chủ đề: 1. Credit--Mathematical models; 2. Credit derivatives--Mathematical models; 3. Finance--Mathematical models; 4. Financial risk--Mathematical models

Includes bibliographical references (pages 343-355).

Tóm tắt

Financial Landscape A Galilean Dialogue on Counterparty Risk, CVA, DVA, Multiple Curves, Collateral, and Funding To the Discerning Reader The First Day The Second Day The Third Day The Fourth Day The Whys of the LOIS Financial Setup Indifference Valuation Model LOIS Formula Numerical Study Model-Free DevelopmentsPure Counterparty Risk Cash Flows Valuation and Hedging CSA Specifications Bilateral Counterparty Risk under Funding Constraints Introduction Market Model Trading Strategies Martingale Pricing Approach TVA Example Reduced-Form BSDE Modeling A Reduced-Form TVA BSDE Approach to Counterpa.