- Paperback: 356 pages
- Publisher: Risk Books (March 22, 2010)
- Language: English
- ISBN-10: 1906348340
- ISBN-13: 978-1906348342
- Package Dimensions: 9.4 x 6.2 x 1.1 inches
- Shipping Weight: 1.6 pounds (View shipping rates and policies)
- Average Customer Review: 2.0 out of 5 stars See all reviews (1 customer review)
- Amazon Best Sellers Rank: #4,637,404 in Books (See Top 100 in Books)
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Counterparty Credit Risk
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About the Author
Eduardo Canabarro is the Managing Director responsible for Quantitative Risk Management at Morgan Stanley. He is responsible for the development of the methods and models used to measure market and credit risks as well as for the independent review and validation of pricing and risk models used by the bank. Prior to Morgan Stanley, he had a similar position at Lehman Brothers as Managing Director and Global Head of Quantitative Risk Management. Eduardo has also worked for Goldman Sachs and Salomon Brothers in Quantitative Modeling and Risk Management. Eduardo has published various articles in the Journal of Financial Engineering, Journal of Fixed Income, The Journal of Risk Financing, Journal of Risk and Re-Insurance, and RISK. His articles Counterparty Risk: Measurement and Pricing and Analyzing Counterparty Risk were cornerstones for the Basel II framework for regulatory capital on counterparty credit risk. He has spoken at leading risk management events around the world including the ones sponsored by the Wharton School, BIS, ICBI, RISK, PRMIA and IAFE. Eduardo holds degrees in Electrical Engineering and MBA (Finance) from UFRGS Brazil as well as MS and PhD degrees in Finance from University of California at Berkeley, USA.
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