user
0
Su pedido

Tu pedido

Su carro de la compra está vacío

Materias

XVA Desks. A New Era for Risk Management "Understanding, Building and Managing Counterparty, Funding and Capital Risk"

XVA Desks. A New Era for Risk Management "Understanding, Building and Managing Counterparty, Funding and Capital Risk"

Compartir en:

(0 Comentarios)
Comenta y valora este libro

pvp.94,50 €

Sin Stock. Posibilidad entre 11 y 20 dias

  • ISBN:9781137448194
  • Editorial: Palgrave
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:440
  • Idiomas:Ingles,Inglés

Materias:

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 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. The book 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. The book 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, the book 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.

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

Otros libros de Sistema Financiero