XVA Desks - A New Era for Risk Management [electronic resource] : Understanding, Building and Managing Counterparty, Funding and Capital Risk /
Ruiz, I.author.
Ruiz, Ignacio,1976-author.
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.
Description based upon print version of record.
Includes bibliographical references and index.
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.
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.
Risk management.
Banks and banking.
Financial engineering.
Risk Management.
Banking.
Financial Engineering.