株式会社極東書店トップ ＞ 商品一覧 ＞ Perturbation Methods in Credit Derivatives : Strategies for Efficient Risk Management.
商品詳細
Perturbation Methods in Credit Derivatives : Strategies for Efficient Risk Management.
・ISBN 978-1-119-60961-2 2020 hard US$ 85.00
￥19,915.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-119-61016-8
| 著者・編者 | Turfus, Colin, |
|---|---|
| シリーズ | Wiley Finance Series |
| 出版社 | (Wiley, US) |
| 出版年月 | 2020.12 |
| ページ数 | 240 pp. |
| 言語 | ENG |
| ニュース番号 | ＜660-L686 660-P1331＞ |
解説
Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume
Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management offers an incisive examination of a new approach to pricing credit-contingent financial instruments. Author and experienced financial engineer Dr. Colin Turfus has created an approach that allows model validators to perform rapid benchmarking of risk and pricing models while making the most efficient use possible of computing resources.
The book provides innumerable benefits to a wide range of quantitative financial experts attempting to comply with increasingly burdensome regulatory stress-testing requirements, including:
- Replacing time-consuming Monte Carlo simulations with faster, simpler pricing algorithms for front-office quants
- Allowing CVA quants to quantify the impact of counterparty risk, including wrong-way correlation risk, more efficiently
- Developing more efficient algorithms for generating stress scenarios for market risk quants
- Obtaining more intuitive analytic pricing formulae which offer a clearer intuition of the important relationships among market parameters, modelling assumptions and trade/portfolio characteristics for traders
The methods comprehensively taught in Perturbation Methods in Credit Derivatives also apply to CVA/DVA calculations and contingent credit default swap pricing.