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Modelling, Pricing, and Hedging Counterparty Credit Exposure
Cesari, Giovanni; Aquilina, John; Charpillon, Niels; Filipovic, Zlatko; Lee, Gordon; Manda, Ion
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Description for Modelling, Pricing, and Hedging Counterparty Credit Exposure
Hardcover. This volume offers practical solutions to the problem of computing credit exposure for large books of derivatives. It presents a software architecture that allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way. Series: Springer Finance. Num Pages: 254 pages, 70 black & white illustrations, biography. BIC Classification: KF; PBKS; PBT. Category: (P) Professional & Vocational. Dimension: 242 x 163 x 17. Weight in Grams: 550.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2010
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
274
Condition
New
Series
Springer Finance
Number of Pages
254
Place of Publication
Berlin, Germany
ISBN
9783642044533
SKU
V9783642044533
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Cesari, Giovanni; Aquilina, John; Charpillon, Niels; Filipovic, Zlatko; Lee, Gordon; Manda, Ion
Giovanni Cesari is Managing Director at UBS. He has more than 10 years' experience in modelling and pricing counterparty credit exposure. Before moving to finance, Giovanni worked for several years in particle physics and in theoretical computer science. Giovanni holds a Laurea in Electrical Engineering from the University of Trieste, a Perfezionamento in Physics from the University of Padova, and a ... Read more
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