Currency
£145.00
This book written by leading industry expert, Alexander Sokol, provides a comprehensive reference of market practice and advanced techniques for constructing and calibrating long-term portfolio simulation models.
Long-Term Portfolio Simulation is a must-read for anyone dealing with the unique challenges of simulating large portfolios over long time horizons in the context of CVA, funding, liquidity, collateral optimisation, PFE-based limits and regulatory capital.
ISBN
9781782720959
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