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 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 fu...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Palgrave Macmillan
2015
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| Schriftenreihe: | Applied quantitative finance
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| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents only Contributor biographical information |
| Zusammenfassung: | 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 |
| Beschreibung: | Includes bibliographical references (page 393-395) and index |
| Beschreibung: | xxiii, 407 pages 26 cm |
| ISBN: | 9781137448194 1137448199 |
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| id | DE-604.BV046766866 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T14:45:37Z |
| indexdate | 2024-07-10T08:53:14Z |
| institution | BVB |
| isbn | 9781137448194 1137448199 |
| language | English |
| lccn | 015473294 |
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| physical | xxiii, 407 pages 26 cm |
| publishDate | 2015 |
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| publisher | Palgrave Macmillan |
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| series2 | Applied quantitative finance |
| spelling | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk Ignacio Ruiz, Founder and Director, iRuiz Consulting, UK. New York, NY Palgrave Macmillan 2015 xxiii, 407 pages 26 cm txt rdacontent n rdamedia nc rdacarrier Applied quantitative finance Includes bibliographical references (page 393-395) and index 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 Derivative securities / fast / (OCoLC)fst00891019 Risk management / fast / (OCoLC)fst01098164 Derivative securities Risk management Ruiz, Ignacio 1976- aut http://www.loc.gov/catdir/enhancements/fy1608/2015473294-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy1608/2015473294-t.html Table of contents only https://www.loc.gov/catdir/enhancements/fy1617/2015473294-b.html Contributor biographical information |
| spellingShingle | Ruiz, Ignacio 1976- XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk Derivative securities / fast / (OCoLC)fst00891019 Risk management / fast / (OCoLC)fst01098164 Derivative securities Risk management |
| title | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk |
| title_auth | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk |
| title_exact_search | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk |
| title_exact_search_txtP | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk |
| title_full | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk Ignacio Ruiz, Founder and Director, iRuiz Consulting, UK. |
| title_fullStr | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk Ignacio Ruiz, Founder and Director, iRuiz Consulting, UK. |
| title_full_unstemmed | XVA desks - a new era for risk management understanding, building and managing counterparty, funding and capital risk Ignacio Ruiz, Founder and Director, iRuiz Consulting, UK. |
| title_short | XVA desks - a new era for risk management |
| title_sort | xva desks a new era for risk management understanding building and managing counterparty funding and capital risk |
| title_sub | understanding, building and managing counterparty, funding and capital risk |
| topic | Derivative securities / fast / (OCoLC)fst00891019 Risk management / fast / (OCoLC)fst01098164 Derivative securities Risk management |
| topic_facet | Derivative securities / fast / (OCoLC)fst00891019 Risk management / fast / (OCoLC)fst01098164 Derivative securities Risk management |
| url | http://www.loc.gov/catdir/enhancements/fy1608/2015473294-d.html http://www.loc.gov/catdir/enhancements/fy1608/2015473294-t.html https://www.loc.gov/catdir/enhancements/fy1617/2015473294-b.html |
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