Counterparty Credit Risk, Collat…lasses教材.pdfVIP

鈥淭his impressive book covers an important and highly complex area of quantitative inance dealing with counterparty credit risk. It covers many vital topics and demon- strates in great detail how to compute Credit, Debt, and Funding Value Adjustments. Written by some of the best experts in the ield, it provides important insights in its subject matter, which will be of great value for practitioners, academics, and regulators.鈥 Alexander Lipton, Co-Head of Global Quantitative Group at Bank of America Merrill Lynch and Honorary Professor at Imperial College 鈥淭his book could rightly be called The Encyclopaedia of Credit Value Adjustments, although it is both more detailed and more pleasantly readable than an encyclopaedia. It is the one-stop CVA (and more) reference for practitioners and academics alike.鈥 (This endorsement is a personal opinion and does not represent the view of the Financial Services Authority) Dirk Tasche, Technical Specialist, Risk Specialists Division, Financial Services Authority 鈥淭here are many books in Finance. This one is different. It focuses on CVA (Credit Valuation Adjustment), a topic related to counterparty risk. The irst chapter alone is worth the price of the book. This chapter is an 鈥榚xtended dialogue,鈥 where Brigo uses a question and answer format to teach, in an entertaining manner, a lot of the fundamental ideas, as well as the jargon with its alphabet-city innumerable acronyms, of modern inancial mathematics, both as it is practiced in industry and in academia. His approach is creative and original; it could be acted out by two performers in front of a live audience. The book is urgently needed at a time when credit risk has emerged as the issue of the times.鈥 Professor Philip Protter, Professor of Statistics, Statistics Department, Columbia University Counterparty Credit Risk, Collateral and Funding For other tit