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Counterparty Risk and Funding
- A Tale of Two Puzzles
- Binding:
- Paperback
- Pages:
- 388
- Published:
- December 17, 2020
- Dimensions:
- 178x254x0 mm.
- Weight:
- 453 g.
Delivery:
1-2 weeks
Expected delivery: November 29, 2024
About Stephane (Universite d'Evry-Val-d'Essonne Crepey
View all books by Stephane (Universite d'Evry-Val-d'Essonne CrepeyDescription of Counterparty Risk and Funding
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
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