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9781466516458

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... a fresh take on mitigation of counterparty risk ... [the book] 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. -hedgeweek.com, July 2014 The landscape of the rates and credit markets has changed so drastically since the 2008 crisis that older textbooks are barely relevant and, from an analytic perspective, appropriate methods have to be rethought from scratch. The present volume is one of the best contributions in this direction, featuring a clear description of the various 'value adjustments,' new models for portfolio credit risk, a unified analytic framework based on BSDEs, and detailed treatment of numerical methods. -Mark Davis, Imperial College London Understanding the subtle interconnections between credit and funding is key to a modern valuation of derivatives. This timely contribution, written by world-class academics who are also well-recognized experts in the field, offers a rigorous and comprehensive treatment of the main theories underpinning the new valuation principles. Numerical examples are also provided to help the reader grasp key concepts and ideas of the advanced models and techniques here presented. Overall, an excellent textbook. Brigo's dialogue is the icing on the cake. -Fabio Mercurio, Head of Derivatives Research, Bloomberg LP A big hooray for this book on CVA, DVA, FVA/LVA, RVA, TVA, and other three letter acronyms (TLA!). -Peter Carr, PhD, Managing Director, Morgan Stanley, and Executive Director, NYU Courant Master of Science Program in Mathematics in Finance

The landscape of the rates and credit markets has changed so drastically since the 2008 crisis that older textbooks are barely relevant and, from an analytic perspective, appropriate methods have to be rethought from scratch. The present volume is one of the best contributions in this direction, featuring a clear description of the various 'value adjustments,' new models for portfolio credit risk, a unified analytic framework based on BSDEs, and detailed treatment of numerical methods. -Mark Davis, Imperial College London Understanding the subtle interconnections between credit and funding is key to a modern valuation of derivatives. This timely contribution, written by world-class academics who are also well-recognized experts in the field, offers a rigorous and comprehensive treatment of the main theories underpinning the new valuation principles. Numerical examples are also provided to help the reader grasp key concepts and ideas of the advanced models and techniques here presented. Overall, an excellent textbook. Brigo's dialogue is the icing on the cake. -Fabio Mercurio, Head of Derivatives Research, Bloomberg LP A big hooray for this book on CVA, DVA, FVA/LVA, RVA, TVA, and other three letter acronyms (TLA!). -Peter Carr, PhD, Managing Director, Morgan Stanley, and Executive Director, NYU Courant Master of Science Program in Mathematics in Finance

""… a fresh take on mitigation of counterparty risk … [the book] 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."" —hedgeweek.com, July 2014 ""The landscape of the rates and credit markets has changed so drastically since the 2008 crisis that older textbooks are barely relevant and, from an analytic perspective, appropriate methods have to be rethought from scratch. The present volume is one of the best contributions in this direction, featuring a clear description of the various ‘value adjustments,’ new models for portfolio credit risk, a unified analytic framework based on BSDEs, and detailed treatment of numerical methods."" —Mark Davis, Imperial College London ""Understanding the subtle interconnections between credit and funding is key to a modern valuation of derivatives. This timely contribution, written by world-class academics who are also well-recognized experts in the field, offers a rigorous and comprehensive treatment of the main theories underpinning the new valuation principles. Numerical examples are also provided to help the reader grasp key concepts and ideas of the advanced models and techniques here presented. Overall, an excellent textbook. Brigo’s dialogue is the icing on the cake."" —Fabio Mercurio, Head of Derivatives Research, Bloomberg LP ""A big hooray for this book on CVA, DVA, FVA/LVA, RVA, TVA, and other three letter acronyms (TLA!)."" —Peter Carr, PhD, Managing Director, Morgan Stanley, and Executive Director, NYU Courant Master of Science Program in Mathematics in Finance

Understanding the subtle interconnections between credit and funding is key to a modern valuation of derivatives. This timely contribution, written by world-class academics who are also well-recognized experts in the field, offers a rigorous and comprehensive treatment of the main theories underpinning the new valuation principles. Numerical examples are also provided to help the reader grasp key concepts and ideas of the advanced models and techniques here presented. Overall, an excellent textbook. Brigo's dialogue is the icing on the cake. -Fabio Mercurio A big hooray for this book on CVA, DVA, FVA/LVA, RVA, TVA, and other three letter acronyms (TLA!). -Peter Carr, PhD, Managing Director, Morgan Stanley, and Executive Director, NYU Courant Master of Science Program in Mathematics in Finance

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Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo

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