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Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide by John Aquilina, Zlatko Filipovic, Gordon Lee, Niels Charpillon, Giovanni Cesari, Ion Manda (Paperback, 2012)
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About this product
- DescriptionThis volume offers practical solutions to the problem of computing credit exposure for large books of derivatives. It presents a software architecture that allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way.
- Author BiographyGiovanni Cesari is Managing Director at UBS. He has more than 10 years' experience in modelling and pricing counterparty credit exposure. Before moving to finance, Giovanni worked for several years in particle physics and in theoretical computer science. Giovanni holds a Laurea in Electrical Engineering from the University of Trieste, a Perfezionamento in Physics from the University of Padova, and a Ph.D. from ETH, Zurich. John Aquilina holds an M.Phil. in Statistical Science from the University of Cambridge and a Ph.D. in Mathematical Finance from the University of Bath. He has worked on modelling counterparty credit exposure at UBS since 2005. Niels Charpillon holds a Diplome d'Ingenieur from Ecole des Mines, an M.Sc. in Financial Mathematics from Warwick Business School, and a Licence in Economics from University of St. Etienne. He joined the counterparty exposure team at UBS in 2006. Zlatko Filipovic started working for UBS in 2005 as a Quantitative Analyst in the counterparty exposure team. Before joining UBS, Zlatko had been working for Mako Global Derivatives, London, as a Financial Engineer. Zlatko obtained a Ph.D. in Quantitative Finance from Imperial College, London, after graduating from the Faculty of Mathematics, University of Belgrade. Gordon Lee joined the counterparty exposure team at UBS in 2006. Prior to UBS, he was a Senior Associate in quantitative risk and performance analysis at Wilshire Associates. Gordon holds an M.A. in Mathematics from Churchill College, University of Cambridge. Ion Manda holds a Diploma de Inginer in Software Engineering from the University of Bucharest and a M.Sc. in Financial Engineering from Birkbeck College, University of London. He has been working in the credit exposure team at UBS since 2006. Ion has about 10 years' experience as a software engineer.
- Author(s)Giovanni Cesari,Gordon Lee,Ion Manda,John Aquilina,Niels Charpillon,Zlatko Filipovic
- PublisherSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Date of Publication03/01/2012
- GenreFinance & Accounting
- Series TitleSpringer Finance
- Place of PublicationBerlin
- Country of PublicationGermany
- ImprintSpringer-Verlag Berlin and Heidelberg GmbH & Co. K
- Content Note70 black & white illustrations, biography
- Weight427 g
- Width155 mm
- Height235 mm
- Spine15 mm
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