How Long to Read Counterparty Risk and Funding

How Long Does it Take to Read Counterparty Risk and Funding?

It takes the average reader 6 hours and 20 minutes to read Counterparty Risk and Funding by Stéphane Crépey

Assuming a reading speed of 250 words per minute. Learn more

Description

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.

How long is Counterparty Risk and Funding?

Counterparty Risk and Funding by Stéphane Crépey is 380 pages long, and a total of 95,000 words.

This makes it 128% the length of the average book. It also has 116% more words than the average book.

How Long Does it Take to Read Counterparty Risk and Funding Aloud?

The average oral reading speed is 183 words per minute. This means it takes 8 hours and 39 minutes to read Counterparty Risk and Funding aloud.

What Reading Level is Counterparty Risk and Funding?

Counterparty Risk and Funding is suitable for students ages 12 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Counterparty Risk and Funding?

Counterparty Risk and Funding by Stéphane Crépey is sold by several retailers and bookshops. However, Read Time works with Amazon to provide an easier way to purchase books.

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