Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

by Gordon Lee (Author), Giovanni Cesari (Author), Gordon Lee (Author), Giovanni Cesari (Author), Ion Manda (Author), John Aquilina (Author), Niels Charpillon (Author), Zlatko Filipovic (Author)

• New

  Illustrated
  2010

  $174.39

  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.