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[书籍介绍] 求书:Counterparty Credit Risk, Collateral and Funding: [推广有奖]

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likan921 在职认证  发表于 2013-3-21 10:52:00 |显示全部楼层 |坛友微信交流群
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Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes

Damiano Brigo, Massimo Morini, Andrea Pallavicini
0 篇评论
Wiley, 2013年3月5日 - 464 页

The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity.
The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price  counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems.
The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation.
Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.


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关键词:counterparty credit risk Collateral counter lateral content 464 framework developed required

stonepiece 发表于 2013-12-5 16:42:38 |显示全部楼层 |坛友微信交流群
我也需要。请问你找到了吗?

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aoreal 发表于 2013-12-10 22:07:36 |显示全部楼层 |坛友微信交流群
同求,非常需要!!!

有人找到电子版了吗

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aeoluseros 发表于 2014-4-5 02:43:05 |显示全部楼层 |坛友微信交流群
同求,Mark

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99rabbit 发表于 2014-6-12 11:44:21 |显示全部楼层 |坛友微信交流群
在这里了  https://bbs.pinggu.org/thread-3043485-1-1.html
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Enthuse 发表于 2014-6-18 07:16:29 |显示全部楼层 |坛友微信交流群
99rabbit 发表于 2014-6-12 11:44
在这里了  https://bbs.pinggu.org/thread-3043485-1-1.html
the file is corrupt...

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chao.ma 发表于 2014-12-12 15:46:23 |显示全部楼层 |坛友微信交流群
已将书上传:https://bbs.pinggu.org/forum.php?mod=viewthread&tid=3488431&extra=
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abc000881 发表于 2015-2-4 08:47:05 |显示全部楼层 |坛友微信交流群
感谢楼主

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matlab-007 发表于 2016-1-26 10:28:50 |显示全部楼层 |坛友微信交流群
Counterparty Credit Risk, Collateral and Fundinghttp://www.investdoc.cn/p-97138.html

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xiaotibing 发表于 2016-5-26 11:18:25 |显示全部楼层 |坛友微信交流群
Counterparty Credit Risk,Collateral and Funding With Pricing Cases For All Asse.pdf (18.22 MB, 需要: 5 个论坛币)
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