Loading, please wait...
:

product description page

Modern Derivatives Pricing and Credit Exposure Analysis : Theory and Practice of CSA and XVA Pricing,

Modern Derivatives Pricing and Credit Exposure Analysis : Theory and Practice of CSA and XVA Pricing, - image 1 of 1

About this item

The past 10 years have seen an incredible change in pricing financial products, driven by the credit crisis which started in 2007 with the near bankruptcy of Bear Stearns, reached a first climax with the implosion of the US housing market and the banking world's downfall, and then turned into a sovereign debt crisis in Europe. A major change to have affected the landscape has been the increasing complexity in the valuation of derivatives – multi-curve pricing, various value adjustments (XVAs) using Monte Carlo simulation of markets through time, credit risk measurement and capital allocation – all based on increasingly complex mathematical and IT machinery.Modern Derivatives Pricing is a comprehensive, practical guidebook written with the practitioner in mind. While rigorous on the theoretical side, it provides a detailed and consistent toolkit of pricing and risk methods to cope with the increasing complexities of today's financial derivatives management. The presented risk factor evolution models for six different asset classes allow efficient computations of various value adjustments (the XVAs) and risk measures in a competitive and increasingly regulated environment. The text bridges the gap between the risk-neutral and real-world measure for backtesting purposes and explains different methods for speeding up XVA computations in order to allow fast calculations of margin adjustments or XVA Greeks.Written to provide sound theoretical detail with practical implementation, this book will provide readers with both an overview and deep dive into valuation and risk methods applied in the industry today.
Number of Pages: 466
Genre: Business + Money Management
Sub-Genre: Business Mathematics, Finance, Econometrics
Series Title: Applied Quantitative Finance
Format: Hardcover
Publisher: Palgrave Macmillan
Author: Roland Lichters & Roland Stamm & Donal Gallagher
Language: English
Street Date: October 21, 2015
TCIN: 50240085
UPC: 9781137494832
Item Number (DPCI): 248-04-7451
If the item details above aren’t accurate or complete, we want to know about it. Report incorrect product info.

Guest reviews

Prices, promotions, styles and availability may vary by store & online. See our price match guarantee. See how a store is chosen for you.