- Paperback: 399 pages
- Publisher: Risk Books (December 14, 2005)
- Language: English
- ISBN-10: 190433976X
- ISBN-13: 978-1904339762
- Product Dimensions: 6.1 x 1.1 x 9.2 inches
- Shipping Weight: 2.3 pounds (View shipping rates and policies)
- Average Customer Review: 1 customer review
- Amazon Best Sellers Rank: #5,351,625 in Books (See Top 100 in Books)
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Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation
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About the Author
Michael Pykhtin is a vice president in the Credit Analytics group at Bank of America in Chicago. He is responsible for developing new credit risk methodologies for the bank’s portfolio of derivatives and other capital market products. Prior to joining Bank of America in 2005, Michael was a vice president in the Capital Allocation & Quantitative Analysis group at KeyCorp in Cleveland. His main responsibility was developing models of credit risk and economic capital for the bank’s portfolio of loans and other assets. Prior to joining KeyCorp in 2000, Michael was a researcher in theoretical physics, studying vibrational dynamics at surfaces and interfaces of materials. Michael has been a frequent contributor to Risk magazine’s Cutting Edge section. He holds a PhD degree in physics from the University of Pennsylvania.