Description: XVA Desks - A New Era for Risk Management : Understanding, Building and Managing Counterparty, Funding and Capital Risk, Hardcover by Ruiz, Ignacio, ISBN 1137448199, ISBN-13 9781137448194, Like New Used, Free P&P in the UK 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. Th then goes into the fundamentals of counterparty credit and funding risk, explaining in detail how to build appropriate models. This includes an in-depth explanation of Monte Carlo simulations, collateral modelling, exposure allocation, simplified calculations, the role of central counterparties, and right and wrong way risk. Th then considers the latest research in the valuation adjustments that are currently being implemented by the trading houses: CVA, DVA, FVA, LVA, CollVA, KVA, etc : with examples illustrating the meaning of these adjustments, why they exist, their inter-relationships, hedging and how they are changing trading and risk management behaviour. Th also covers the calculation of regulatory capital in financial institutions, explaining all the necessary components. A full chapter is dedicated to the emergence of model risk, with detail on a number of backtesting frameworks that can be implemented. Finally, th dedicates a chapter to systems and project management in the context of counterparty and funding risk, highlighting key success factors in this space. XVA Desks: A New Era for Risk Management will provide practitioners and academics with a comprehensive treatment of counterparty and funding risks, and is an essential reference for risk management practitioners, traders, structures, quants working in the front and middle offices of banks and other financial institutions, students and researchers in this space.
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Book Title: XVA Desks - A New Era for Risk Management : Understanding, Buildi
Item Height: 254 mm
Item Width: 178 mm
Series: Applied Quantitative Finance
Author: I. Ruiz
Publication Name: XVA Desks - A New Era for Risk Management: Understanding, Building and Managing Counterparty, Funding and Capital Risk
Format: Hardcover
Language: English
Publisher: Palgrave Macmillan
Subject: Finance
Publication Year: 2015
Type: Textbook
Item Weight: 9513 g
Number of Pages: 407 Pages
