Contacto
Como comprar
Entrega
Guia de compras
Inglês
112 b
Até 30 dias para devoluções
Os clientes também compraram
/
Capa mole
14.51
€
/
Capa mole
55.87
€
/
Capa mole
25.51
€
/
Capa mole
38.72
€
Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This book outlines the main approaches to credit risk modelling, intensity and structural. It gives important examples of both and particular examples useful in the calculation of CVA, the intensity model of Brigo and the structural model of Hull and White. It details Brigo s market standard, model independent, framework for derivatives valuation with CVA. It does this for both its unilateral form where only one counterparty is credit risky and also for its bilateral form where both counterparties are credit risky. This book then shows how these frameworks can be applied to the valuation of a credit default swap contract (CDS) and compares their ability to capture correlation effects.
Sobre o livro
Inglês
Ofereça este livro hoje
É fácil
1 Adicione ao carrinho e escolha Entregar como presente ao finalizar a compra 2 Receberá um vale 3 O livro chegará ao endereço do destinatárioTambém pode estar interessado em
/
Capa mole
17.64
€
/
Capa mole
11.19
€
/
Capa mole
27.32
€
/
Livro de capa dura
58.19
€
Olá! Sou o Libroamiko, o seu conselheiro de livros.
Como posso ajudar?