Risk Types, CVA, Basel III, and OIS Discounting

Rupak Chatterjee

Chapter Chapter 7 in Practical Methods of Financial Engineering and Risk Management, 2014, pp 283-314 from Springer

Abstract: Abstract The foregoing chapters described various financial contracts along with their valuation and risk on an instrument by instrument basis. In reality, internal heads of risk management and government regulators must look at the overall risk of the firm across all trading activities and asset classes.

Keywords: Credit Spread; Liquidity Risk; Coherent Risk Measure; Basel Committee; Capital Charge (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4302-6134-6_7

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DOI: 10.1007/978-1-4302-6134-6_7

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