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New book offers fresh take on mitigating counterparty risk

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A new book by Stéphane Crépey, Tomasz R. Bielecki and Damiano Brigo offers a fresh take on mitigation of counterparty risk, a key problem of the 2008 global credit crisis and current European sovereign debt crisis.

Counterparty Risk and Funding: A Tale of Two Puzzles (Chapman and Hall/CRC Financial Mathematics Series) gives a ground-up approach for analysis and managing of risks associated with  non-payment of promised cash flows due to the default by a party in an over the counter derivative transaction.
It should be of value to researchers, graduate students, financial quants, managers in banks, CVA desks, and members of supervisory bodies.
Bielecki is a professor of applied mathematics at Illinois Institute of Technology (IIT) and the director of the university’s Master’s in Mathematical Finance (MMF) programme.
“Understanding the subtle interconnections between credit and funding is key to a modern valuation of derivatives,” says Fabio Mercurio, head of derivatives research, Bloomberg. “This timely contribution, written by world-class academics who are also well-recognised experts in the field, offers a rigorous and comprehensive treatment of the main theories underpinning the new valuation principles.” 

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