Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes 1st Edition

4.6 out of 5 stars 7 ratings
ISBN-13: 978-0470748466
ISBN-10: 047074846X
Why is ISBN important?
This bar-code number lets you verify that you're getting exactly the right version or edition of a book. The 13-digit and 10-digit formats both work.
Scan an ISBN with your phone
Use the Amazon App to scan ISBNs and compare prices.
Have one to sell?
Loading your book clubs
There was a problem loading your book clubs. Please try again.
Not in a club? Learn more
Amazon book clubs early access

Join or create book clubs

Choose books together

Track your books
Bring your club to Amazon Book Clubs, start a new book club and invite your friends to join, or find a club that’s right for you for free.
Buy new:
Only 2 left in stock - order soon.
Ships from and sold by
Available at a lower price from other sellers that may not offer free Prime shipping.
Arrives: Tuesday, Oct 6 Details
Fastest delivery: Wednesday, Sep 30 Details
List Price: $103.00
Save: $10.30 (10%)
11 new from $73.51
& FREE Shipping. Details

Counterparty Credit Risk,... has been added to your Cart

Available at a lower price from other sellers that may not offer free Prime shipping.

Books with Buzz
Discover the latest buzz-worthy books, from mysteries and romance to humor and nonfiction. Explore more
click to open popover

Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.

  • Apple
  • Android
  • Windows Phone
    Windows Phone
  • Click here to download from Amazon appstore

To get the free app, enter your mobile phone number.


Frequently bought together

  • Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes
  • +
  • Collateral Management: A Guide to Mitigating Counterparty Risk (Wiley Finance)
Total price: $178.20
Buy the selected items together

Special offers and product promotions

Editorial Reviews

From the Inside Flap

"This book could rightly be called The Encyclopaedia of Credit Value Adjustments, although it is both more detailed and more pleasantly readable than an encyclopaedia. It is the one-stop CVA (and more) reference for practitioners and academics alike." (This endorsement is a personal opinion and does not represent the view of the Financial Services Authority)--Dirk Tasche, Technical Specialist, Risk Specialists Division, Financial Services Authority
"There are many books in Finance. This one is different. It focuses on CVA (Credit Valuation Adjustment), a topic related to counter party risk. The first chapter alone is worth the price of the book. This chapter is an 'extended dialogue,' where Brigo uses a question and answer format to teach, in an entertaining manner, a lot of the fundamental ideas, as well as the jargon with its alphabet-city innumerable acronyms, of modern financial mathematics, both as it is practiced in industry and in academia. His approach is creative and original; it could be acted out by two performers in front of a live audience. The book is urgently needed at a time when credit risk has emerged as the issue of the times."--Professor Philip Protter, Professor of Statistics, Statistics Department, Columbia University
"This impressive book covers an important and highly complex area of quantitative finance dealing with counterparty credit risk. It covers many vital topics and demonstrates in great detail how to compute Credit, Debt, and Funding Value Adjustments. Written by some of the best experts in the field, it provides important insights in its subject matter, which will be of great value for practitioners, academics, and regulators."--Alexander Lipton, Co-Head of Global Quantitative Group at Bank of America Merrill Lynch and Honorary Professor at Imperial College

From the Back Cover

Counterparty Credit Risk, Collateral and Funding With Pricing Cases for All Asset Classes

Brigo, Morini & Pallavicini

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes aims to help academic researchers, quantitative analysts and traders who need to frame and price counterparty credit and funding risk, to develop a feel for applying advanced mathematics and stochastic models to solve practical problems.

The book focuses 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 also looks at practical problems, linking particular models to particular financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging area of longevity / mortality risk. Several pricing examples and numerical case studies are presented. The implications for regulation, from Basel III to FASB and IAS, are also considered. The main models are illustrated from theoretical formulation to final implementation with calibration to market data. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are discussed.

Written by authors who are methodology thought leaders both in industry and academia, Counterparty Credit Risk, Collateral and Funding is a must-have for anyone who is interested in expanding their mathematical knowledgebase and their understanding of counterparty credit models in order to accurately price and hedge a number of financial instruments.

Product details

  • Hardcover : 464 pages
  • ISBN-10 : 047074846X
  • ISBN-13 : 978-0470748466
  • Product Dimensions : 6.5 x 1.3 x 9.7 inches
  • Publisher : Wiley; 1st Edition (April 22, 2013)
  • Language: : English
  • Customer Reviews:
    4.6 out of 5 stars 7 ratings
Pages with related products. See and discover other items: financial model, financial modeling, business credit, credit analysis, quantitative financial books