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XVA desks - a new era for risk management : understanding, building and managing counterparty, funding and capital risk

Author: Ignacio Ruiz
Publisher: New York, NY : Palgrave Macmillan, 2015.
Series: Applied quantitative finance.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
XVA Desks: A New Era for Risk Management is a comprehensive guide to the fundamentals and latest developments in this rapidly expanding field. Written by a seasoned practitioner, it begins with an overview of the role of OTC derivatives in the current banking industry. The book then goes into the fundamentals of counterparty credit and funding risk, explaining in detail how to build appropriate models. This includes  Read more...
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Additional Physical Format: Electronic reproduction of (manifestation):
XVA desks - a new era for risk management.
New York, NY : Palgrave Macmillan, 2015
(DLC) 2015473294
(OCoLC)891610606
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ignacio Ruiz
ISBN: 9781137448217 1137448210
OCLC Number: 937400841
Description: 1 online resource (xxiii, 407 pages)
Contents: 1. The Banking Industry, the Capital Markets and Counterparty Credit Risk --
2. Introduction to Quantifying Risk: From Market to Counterparty Risk --
3. Counterparty Credit Risk I: Exposure Measurement --
4. Counterparty Credit Risk II: Loss Given Default and Default Probability --
5. Right and Wrong Way Risk --
6. Backtesting Risk Models --
7. Risk Model Validation --
8. A Primer on Risk-Free Pricing --
9. Pricing Counterparty Risk: CVA --
10. FVA and Discounting --
11. A Primer on Regulatory Capital Calculation --
12. CVA & FVA Systems and Project Management.
Series Title: Applied quantitative finance.
Responsibility: Ignacio Ruiz, Founder and Director, iRuiz Consulting, UK.

Abstract:

Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of  Read more...

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