Perturbation Methods in Credit Derivatives - Strategies for Efficient Risk Management (Hardcover)

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

Imprint:	John Wiley & Sons
Country of origin:	United States
Release date:	2021
First published:	2021
Authors:	C Turfus
Dimensions:	248 x 178 x 20mm (L x W x T)
Format:	Hardcover
Pages:	256
ISBN-13:	978-1-119-60961-2
Categories:	Books > Business & Economics > Finance & accounting > Accounting > General Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General
LSN:	1-119-60961-5
Barcode:	9781119609612

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