eBook - ePub

Perturbation Methods in Credit Derivatives

Name: Perturbation Methods in Credit Derivatives
ISBN: 9781119609599

Strategies for Efficient Risk Management

Colin Turfus,

English
ePUB (mobile friendly)
Available on iOS & Android

eBook - ePub

Perturbation Methods in Credit Derivatives

Strategies for Efficient Risk Management

Colin Turfus,

About this book

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 expertsattempting 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.

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Yes, you can access Perturbation Methods in Credit Derivatives by Colin Turfus in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.