XVA Desks - A New Era for Risk Management

Name: XVA Desks - A New Era for Risk Management
Author: I. Ruiz

Understanding, Building and Managing Counterparty, Funding and Capital Risk

Specificaties

Gebonden, blz. | Engels

Palgrave Macmillan UK | e druk, 2015

ISBN13: 9781137448194

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Juridisch :

Palgrave Macmillan UK e druk, 2015 9781137448194

Onderdeel van serie Applied Quantitative Finance

€ 147,39

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Samenvatting

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.

Specificaties

ISBN13:9781137448194

Taal:Engels

Bindwijze:gebonden

Uitgever:Palgrave Macmillan UK

Hoofdrubriek:Financieel management

Serie:Applied Quantitative Finance

Inhoudsopgave

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