Counterparty credit risk : measurement, pricing and hedging

CiNii 所蔵館 5館

書誌事項

タイトル
"Counterparty credit risk : measurement, pricing and hedging"
責任表示
edited by Eduardo Canabarro
出版者
  • Risk Books
出版年月
  • c2009
書籍サイズ
24 cm

この図書・雑誌をさがす

注記

Summary: This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks

Includes bibliographical references and index

詳細情報 詳細情報について

ページトップへ