Modelling, Pricing, and Hedging Counterparty Credit Exposure ... - 9783642262081

Modelling, Pricing, and Hedging Counterparty Credit ExposureA Technical Guide\nAuthor(s): Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda\nFormat: Paperback\nPublisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Germany\nImprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K\nISBN-13: 9783642262081, 978-3642262081\nSynopsis\nIt 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 to.