|
Books > Business & Economics > Finance & accounting > Finance
|
Buy Now
Perturbation Methods in Credit Derivatives - Strategies for Efficient Risk Management (Hardcover)
Loot Price: R1,698
Discovery Miles 16 980
|
|
|
Perturbation Methods in Credit Derivatives - Strategies for Efficient Risk Management (Hardcover)
Expected to ship within 10 - 15 working days
|
Stress-test financial models and price credit instruments with
confidence and efficiency using the perturbation approach taught in
this expert volume Perturbation Methods in Credit Derivatives:
Strategies for Efficient Risk Management offers an incisive
examination of a new approach to pricing credit-contingent
financial instruments. Author and experienced financial engineer
Dr. Colin Turfus has created an approach that allows model
validators to perform rapid benchmarking of risk and pricing models
while making the most efficient use possible of computing
resources. The book provides innumerable benefits to a wide range
of quantitative financial experts attempting to comply with
increasingly burdensome regulatory stress-testing requirements,
including: Replacing time-consuming Monte Carlo simulations with
faster, simpler pricing algorithms for front-office quants Allowing
CVA quants to quantify the impact of counterparty risk, including
wrong-way correlation risk, more efficiently Developing more
efficient algorithms for generating stress scenarios for market
risk quants Obtaining more intuitive analytic pricing formulae
which offer a clearer intuition of the important relationships
among market parameters, modelling assumptions and trade/portfolio
characteristics for traders The methods comprehensively taught in
Perturbation Methods in Credit Derivatives also apply to CVA/DVA
calculations and contingent credit default swap pricing.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
|
You might also like..
|
Email address subscribed successfully.
A activation email has been sent to you.
Please click the link in that email to activate your subscription.
Welcome to Loot.co.za!
Sign in / Register |Wishlists & Gift Vouchers |Help | Advanced search
(1)
