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The top documents tagged [portfolio of derivatives]
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Pricing Counterparty Credit Risk at the Trade Level Michael Pykhtin Credit Analytics & Methodology Bank of America Risk Quant Congress New York; July
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Fundamentals of Futures and Options Markets, 6 th Edition, Copyright © John C. Hull 2007 15.1 The Greek Letters Chapter 15 Pages 328 - 343
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14-0 Finance 457 14 Chapter Fourteen The Greek Letters
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Validating Counterparty Risk Models Martin Goldberg, Ph. D.
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Presented at Risk Training Managing Model Risk in Pricing and Risk
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©David Dubofsky and 20-1 Thomas W. Miller, Jr. Chapter 20 Current Topics in Risk Management Value at Risk (VaR) Credit Derivatives Exotic Options
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Wrong Way Risk
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Market Risk Modelling By A.V. Vedpuriswar July 31, 2009
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17:49:46 1 The Greek Letters Chapter 17. 17:49:46 2 Example A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying
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Fundamentals of Futures and Options Markets, 7th Ed, Ch 17, Copyright © John C. Hull 2010 The Greek Letters Chapter 17 1
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Chapter 21
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Validating Counterparty Risk Models
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The Greek Letters Chapter 15. Example (Page 317) A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend paying stock
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