| 書目名稱 | Modelling, Pricing, and Hedging Counterparty Credit Exposure | | 副標(biāo)題 | A Technical Guide | | 編輯 | Giovanni Cesari,John Aquilina,Ion Manda | | 視頻video | http://file.papertrans.cn/637/636702/636702.mp4 | | 概述 | 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.Combines | | 叢書名稱 | Springer Finance | | 圖書封面 |  | | 描述 | 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. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across | | 出版日期 | Book 2009 | | 關(guān)鍵詞 | Credit Derivatives; Hedging; Investment; Measure; Portfolio; Rating; quantitative finance | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-04454-0 | | isbn_softcover | 978-3-642-26208-1 | | isbn_ebook | 978-3-642-04454-0Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2009 |
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