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Detalles de la obra

Título:
Counterparty credit risk, collateral and funding
Subtítulo:
with pricing cases for all asset classes
Autor(es):
Brigo, Damiano; Morini, Massimo; Pallavicini, Andrea
Pie de imprenta:
Chichester: John Wiley & Sons, c2013
Descripción física:
xxvii, 435 p. grafs. 25 x 18 cm.
Idioma:
Inglés
ISBN:
978-0-470-74846-6
Resumen:
Contiene: I. Counterparty credit risk, collateral and funding. 1. Introduction. 2. Context. 3. Modelling the Counterparty Default.- II. Pricing counterparty risk: unilateral CVA. 4. Unilateral CVA and netting for interest rate products. 5. Wrong Way Risk (WWR) for interest rates. 6. Unilateral CVA for commodities with WWR. 7. Unilateral CVA for credit with WWR. 8. Unilateral CVA for equity with WWR. 9. Unilateral CVA for FX.- III. Advanced credit and funding risk pricing. 10. New generation counterparty and funding risk pricing. 11. A first attack on funding cost modelling. 12. Bilateral CVA–DVA and interest rate products. 13. Collateral, netting, close-out and re-hypothecation. 14. Close-out and contagion with examples of a simple payoff. 15. Bilateral collateralized CVA and DVA for rates and credit. 16. Including margining costs in collateralized contracts. 17. Funding Valuation Adjustment (FVA)? 18. Non-standard asset classes: longevity risk. 19. Conclusions and further work.
Referencias bibliográficas:
Incluye Bibliografía
Título serie:
Wiley finance series
Ubicación física:
332.7 / BRI - RIESGO
Tipo de material:
[Material Impreso]