by Gordon Lee (Author), Giovanni Cesari (Author), John Aquilina (Author), Ion Manda (Author), Giovanni Cesari (Author), Gordon Lee (Author), Zlatko Filipovic (Author), Niels Charpillon (Author)
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.
Format: Illustrated
Pages: 274
Edition: 2010
Publisher: Springer
Published: 12 Jan 2010
ISBN 10: 3642044530
ISBN 13: 9783642044533