Xva Desks - A New Era for Risk Management
Understanding, Building and Managing Counterparty, Funding and Capital Risk
Published on 14. January 2014
Book
Paperback/Softback
407 pages
978-1-349-68622-3 (ISBN)
Description
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 counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk management, pricing considerations and implementation.
More details
Series
Edition
2015 ed.
Language
English
Place of publication
London
United Kingdom
Product notice
Paperback (trade)
Unsewn / adhesive bound
Illustrations
Bibliography
Dimensions
Height: 246 mm
Width: 189 mm
ISBN-13
978-1-349-68622-3 (9781349686223)
DOI
10.1057/9781137448200
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
I. Ruiz
XVA Desks - A New Era for Risk Management
Understanding, Building and Managing Counterparty, Funding and Capital Risk
Book
04/2015
Palgrave Macmillan
€128.39
Shipment within 10-20 days
I. Ruiz
XVA Desks - A New Era for Risk Management
Understanding, Building and Managing Counterparty, Funding and Capital Risk
E-Book
04/2015
1st Edition
Palgrave Macmillan
€117.69
Available for download
Content
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