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Author Turfus, Colin, author.

Title Perturbation Methods in Credit Derivatives [O'Reilly electronic resource] / Turfus, Colin.

Edition 1st edition
Publication Info. Wiley, 2021.
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Description 1 online resource (256 pages)
text file
Summary 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.
Reproduction Electronic reproduction. Boston, MA : Safari, Available via World Wide Web. 2021.
System Details Mode of access: World Wide Web.
Genre Electronic books.
Added Author Safari, an O'Reilly Media Company.
Standard No. 9781119609612
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