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Modern Derivatives Pricing and Credit Exposure Analysis

Name: Modern Derivatives Pricing and Credit Exposure Analysis
Brand: Palgrave Macmillan
SKU: 09358762
Price: 114.98 EUR
Availability: InStock
Author: Roland Lichters
ISBN: 9781137494832

Theory and Practice of Csa and Xva Pricing, Exposure Simulation and Backtesting

Roland Lichters

Език

Английски език

Книга С твърди корици

Код Либристо: 09358762

Издателство Palgrave Macmillan, октомври 2015

The derivatives pricing landscape has undergone significant change over the past 6 years. Developmen... Цялото описание

Код Либристо: 09358762

280 b

114.98 €

224.89 лв

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The derivatives pricing landscape has undergone significant change over the past 6 years. Development to the way rates are projected, cash flows discounted and portfolio values adjusted for credit, funding and capital cost has impacted on basic curve construction, risk factor evolution and pricing models, meaning previous methodologies are obsolete. Furthermore there is a trend in the market to compute ever more adjustments to the fair value of a derivative (CVA, DVA, FVA, KVA, ...), all of which interact with each other, and to include CSA features in the pricing as well. This means that we need well-performing and robust methods for simulation, models that support multi-curve pricing, and a good backtesting framework which bridges the gap between the real-world measure and the risk-neutral measure. This book provides a comprehensive practical guidebook for modern derivatives pricing and credit analysis with the practitioner in mind. Written to provide sound theoretical detail but practical implication, it will provide readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.