Description: Modelling, Pricing, and Hedging Counterparty Credit Exposure by Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda Estimated delivery 3-12 business days Format Hardcover Condition Brand New Description It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. Publisher Description It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system. Author Biography Giovanni Cesari is Managing Director at UBS. He has more than 10 years experience in modelling and pricing counterparty credit exposure. Before moving to finance, Giovanni worked for several years in particle physics and in theoretical computer science. Giovanni holds a Laurea in Electrical Engineering from the University of Trieste, a Perfezionamento in Physics from the University of Padova, and a Ph.D. from ETH, Zurich.John Aquilina holds an M.Phil. in Statistical Science from the University of Cambridge and a Ph.D. in Mathematical Finance from the University of Bath. He has worked on modelling counterparty credit exposure at UBS since 2005.Niels Charpillon holds a Diplôme dIngénieur from Ecole des Mines, an M.Sc. in Financial Mathematics from Warwick Business School, and a Licence in Economics from University of St. Etienne. He joined the counterparty exposure team at UBS in 2006.Zlatko Filipovic started working for UBS in 2005 as a Quantitative Analyst in the counterparty exposure team. Before joining UBS, Zlatko had been working for Mako Global Derivatives, London, as a Financial Engineer. Zlatko obtained a Ph.D. in Quantitative Finance from Imperial College, London, after graduating from the Faculty of Mathematics, University of Belgrade.Gordon Lee joined the counterparty exposure team at UBS in 2006. Prior to UBS, he was a Senior Associate in quantitative risk and performance analysis at Wilshire Associates. Gordon holds an M.A. in Mathematics from Churchill College, University of Cambridge.Ion Manda holds a Diploma de Inginer in Software Engineering from the University of Bucharest and a M.Sc. in Financial Engineering from Birkbeck College, University of London. He has been working in the credit exposure team at UBS since 2006. Ion has about 10 years experience as a software engineer. Details ISBN 3642044530 ISBN-13 9783642044533 Title Modelling, Pricing, and Hedging Counterparty Credit Exposure Author Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda Format Hardcover Year 2010 Pages 254 Edition 12201st Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG GE_Item_ID:137621094; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. 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Price: 189.08 USD
Location: Fairfield, Ohio
End Time: 2024-11-25T03:34:25.000Z
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Restocking Fee: No
Return shipping will be paid by: Buyer
All returns accepted: Returns Accepted
Item must be returned within: 30 Days
Refund will be given as: Money Back
ISBN-13: 9783642044533
Book Title: Modelling, Pricing, and Hedging Counterparty Credit Exposure
Number of Pages: Xx, 254 Pages
Publication Name: Modelling, Pricing, and Hedging Counterparty Credit Exposure : a Technical Guide
Language: English
Publisher: Springer Berlin / Heidelberg
Publication Year: 2010
Subject: Numerical Analysis, Finance / General, Probability & Statistics / General, Investments & Securities / Analysis & Trading Strategies, Management Science, Investments & Securities / General
Item Weight: 22.2 Oz
Type: Textbook
Subject Area: Mathematics, Business & Economics
Item Length: 9.3 in
Author: John Aquilina, Gordon Lee, Giovanni Cesari, Zlatko Filipovic, Niels Charpillon
Series: Springer Finance Ser.
Item Width: 6.1 in
Format: Hardcover
