Modern Derivatives Pricing and Credit Exposure Analysis PDF ePub eBook

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Modern Derivatives Pricing and Credit Exposure Analysis free pdf The past 10 years have seen an incredible change in pricing financial products, driven by the credit crisis which started in 2007 with the near bankruptcy of Bear Sterns, reaching a first climax with the implosion of the US housing market and the banking world's downfall, and then turning into a sovereign debt crisis in Europe. A major change to have affected the landscape has been the increasing complexity in the valuation of derivatives - multi-curve pricing, various value adjustments (XVAs) using Monte Carlo simulation of markets through time, credit risk measurement and capital allocation - all based on increasingly complex mathematical and IT machinery. Modern Derivatives Pricing is a comprehensive, practical guidebook for modern derivatives pricing and credit analysis, written with the practitioner in mind. Theoretically rigorous but focused on market practice, it provides a detailed and consistent toolkit of pricing and risk methods to cope with the increasing complexities of today's financial derivatives management. The presented risk factor evolution models for six different asset classes allow efficient computations of various value adjustments (the XVAs) and risk measures in a competitive and increasingly regulated environment. The text bridges the gap between the risk-neutral and real-world measure for backtesting purposes and explains different methods for speeding up XVA computations in order to allow fast calculations of margin adjustments or XVA Greeks. Written to provide sound theoretical detail with practical implementation, this book provides readers with both an overview and deep dive into valuation and risk methods applied in the industry today.

About Roland Stamm

Roland Lichters has headed bank Risk and IT departments - building teams, processes, pricing/risk methodologies and systems. As founding Partner of Quaternion Risk Management, responsible for R

Details Book

Author : Roland Stamm
Publisher : Palgrave Macmillan
Data Published : 16 November 2015
ISBN : 1137494832
EAN : 9781137494832
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 504 pages
Age + : 15 years
Language : English
Rating :

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