Counterparty Credit Risk & Hybrid Models

"This book could rightly be called The Encyclopaedia of Credit Value Adjustments, although it is both more detailed and more pleasantly readable than an encyclopaedia. It is the one-stop CVA (and more) reference for practitioners and academics alike." (This endorsement is a personal opinion and does not represent the view of the Financial Services Authority)— Dirk Tasche, Technical Specialist, Risk Specialists Division, Financial Services Authority "There are many books in Finance. This one is different. It focuses on CVA (Credit Valuation Adjustment), a topic related to counter party risk. The first chapter alone is worth the price of the book. This chapter is an "extended dialogue,' where Brigo uses a question and answer format to teach, in an entertaining manner, a lot of the fundamental ideas, as well as the jargon with its alphabet-city innumerable acronyms, of modern financial mathematics, both as it is practiced in industry and in academia. His approach is creative and original; it could be acted out by two performers in front of a live audience. The book is urgently needed at a time when credit risk has emerged as the issue of the times."— Professor Philip Protter, Professor of Statistics, Statistics Department, Columbia University