Counterparty credit risk : measurement, pricing and hedging / edited by Eduardo Canabarro
| Publisher | London : Risk Books |
|---|---|
| Year | c2009 |
| Authors | Canabarro, Eduardo |
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| Location | Volume | Call No. | Barcode No. | Status | Comments | ISBN | Printed | Restriction | Reserve |
|---|---|---|---|---|---|---|---|---|---|
| Library Main Building 3rd fl. (Foreign Books) |
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3381:933 | 121010094I |
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9781906348342 |
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| Material Type | Books |
|---|---|
| Size | xxii, 356 p. : ill. ; 24 cm |
| Notes | Summary: This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks Includes bibliographical references and index |
| Subjects | LCSH:Financial risk management LCSH:Derivative securities LCSH:Over-the-counter markets |
| Classification | DC22:332.6457 |
| Language | English |
| ID | 1000779801 |
| ISBN | 9781906348342 |
| NCID |
BB05296186 
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