Modelling, Pricing, and Hedging Counterparty Credit Exposure
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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.
| Autor: | Cesari, Giovanni; Aquilina, John; Charpillon, Niels; Filipovic, Zlatko; Lee, Gordon; Manda, Ion |
| Nakladatel: | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| ISBN: | 9783642262081 |
| Rok vydání: | 2012 |
| Jazyk : | Angličtina |
| Vazba: | Paperback / softback |
| Počet stran: | 254 |
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