Counterparty Risk and Funding: A Tale of Two Puzzles

By Damiano Brigo, Stphane Crpey, Tomasz R Bielecki, et al.

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

• Format: Paperback
• Language: English
• ISBN: 0367740060
• ISBN13: 9780367740061
• Release Date: December 2020
• Publisher: CRC Press
• Length: 388 Pages
• Weight: 2.07 lbs.
• Dimensions: 0.9" x 6.9" x 9.9"