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This latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing;
Vergelijkbare producten zoals The XVA of Financial Derivatives CVA DVA and FVA Explained
derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing;
Vergelijkbare producten zoals Xva Desks - A New Era for Risk Management: Understanding, Building and Managing Counterparty, Funding and Capital Risk
is used by banks, financial institutions and end-users of derivatives Explains all of the underlying regulatory capital (e.g. SA-CCR, SA-CVA) and;
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derivatives, to fully reflect costs. XVA has been of great interest recently due to heavy funding costs (FVA), initial margin (MVA) and capital;
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of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA;
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Solve the DVAFVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles;
Vergelijkbare producten zoals Counterparty Risk and Funding
Solve the DVAFVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles;
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, price, and manage credit risk, such as the Credit Value Adjustment (CVA), the Debt Value Adjustment (DVA), or the Funding Value Adjustment (FVA;
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and, normal model for derivatives, market models and managing exotics instruments* Pricing before and after the financial crisis, collateral;
Vergelijkbare producten zoals Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
characteristics for traders The methods comprehensively taught in Perturbation Methods in Credit Derivatives also apply to CVADVA calculations and;
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Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable;
Vergelijkbare producten zoals Modern Computational Finance - Scripting for Derivatives and xVA
, DVA and FVA. Fully up-to-date and relevant, this book includes comprehensive case studies that illustrate the hedging process from conception;
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interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment (CVA, DVA, FVA;
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(HCA). It provides an overview of the principles and applications of FVA, and explains its impact on banks' financial statements. Investigating;
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for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.;
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-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.;
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This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit;
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of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock;
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of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock;
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the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from;
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derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and;
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; numerical implementation; and pricing, calibration and risk challenges. The explosive growth of credit derivatives markets in the early-to-mid 000's;
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Financial Derivatives, Third Edition is the perfect read. This comprehensive resource provides a thorough introduction to financial derivatives and;
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Practical Readings in Financial Derivatives is a collection of 20 articles spanning major developments in the field in theory and practice;
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, or fear them? In Financial Derivatives: A Blessing or a Curse? Simon Grima and Eleftherios I. Thalassinos rigorously explore the;
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highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives;
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