by
Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo
Language: English
Release Date: June 23, 2014
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...