The book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding. Counterparty Credit Risk and Collateral Margining Funding Costs, CVA Desk and Bank Structure. 7 available at medical-site.info Counterparty Credit Risk and Collateral Margining. Collateralization, Gap Risk and Re-Hypothecation. 4. Adding Collateral Margining Costs and Funding rigorously medical-site.info
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The books content is focused on rigorous and advancedquantitative methods for the pricing and hedging of counterpartycredit and funding risk. The new general. tri-lateral scheme whereby the counterparty C posts collateral to the bank B The compensation mechanism for counterparty credit risk is captured by a default protection liability is the cost of funds above the riskless rate. First Version: Nov 15, This Version: October 29, Abstract. We present a dialogue on Funding Costs and Counterparty Credit. Risk.
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Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered. Damiano is also Director of the Capco Research Institute. He has worked on quantitative analysis of counterparty risk, interest rates-, FX-, credit- and equity- derivatives, risk management and structured products, and funding costs and collateral modelling.
Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance , and has been listed as the most cited author in Risk Magazine in and Damiano obtained a Ph. He regularly delivers advanced training in London, New York and worldwide. He has led workshops on credit risk and the financial crisis at major international conferences. Previously, he held positions as Head of Financial Models at Mediobanca and Head of Financial Engineering at Banca Leonardo, he worked also in aerospace industries and financial institutions.
He has a Degree in Astrophysics and a Ph. Over the years he has written books in finance and he published several academic and practitioner-oriented articles in financial modelling, theoretical physics and astrophysics on major peer-reviewed journals.
He teaches regularly at professional training courses and at Master and Ph. His main contributions in finance concern interest-rate and credit modelling, counterparty credit risk, and hybrid derivative pricing.
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Counterparty Credit Risk, Collateral and Funding: First published: Print ISBN: Free Access. Summary PDF Request permissions. Part I: Part II: Pricing Counterparty Risk: Part III: Tools Get online access For authors. Email or Customer ID.