谁能推荐一些关于 CVA 的书吗？ - Quant版 - 未名存档

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Quant版 - 谁能推荐一些关于 CVA 的书吗？

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s*******n 发帖数: 66	1 介绍算法和model的谢谢：）
r**a 发帖数: 536	2 Counterparty Credit Risk by Jon Gregory
n********6 发帖数: 1511	3 Literature review of General aspects of counterparty risk, Unilateral Counterparty Risk, Bilateral Counterparty Risk, and Structural approaches for modeling counterparty risk. http://www.acousin.net/Docs/Cousin_Discussion_Counterparty_Risk.pdf A Guide to Modeling Counterparty Credit Risk http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1032522 Credit Valuation Adjustment http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1310226 Which provides an overview of credit valuation adjustment. Counterparty Risk FAQ: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1955204 presents an dialog touching credit value adjustment and other concepts, in a form of Q&A between a CVA expert and a fresh graduate. More to come... 【在 s*******n 的大作中提到】 : 介绍算法和model的 : 谢谢：）

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