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Counterparty Risk and Funding: A Tale of Two Puzzles
Paperback
Series: Chapman and Hall/CRC Financial Mathematics
Investing & FinanceProbability & Statistics
ISBN13: 9780367740061
Publisher: CRC Press
Published: Dec 18 2020
Pages: 388
Weight: 2.07
Height: 0.90 Width: 6.90 Depth: 9.90
Language: English
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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