Tomasz Bielecki: 2 books
Credit Risk Frontiers
Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Language: English
Release Date: February 14, 2011
A timely guide to understanding and implementing credit derivatives
Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess?
Credit...
Counterparty Risk and Funding
A Tale of Two Puzzles
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...