Advertisement

XVA Desks — A New Era for Risk Management

Understanding, Building and Managing Counterparty, Funding and Capital Risk

  • Ignacio Ruiz
Book

Part of the Applied Quantitative Finance book series (AQF)

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. The Context

  3. Quantitative Fundamentals

    1. Front Matter
      Pages 17-17
    2. Ignacio Ruiz
      Pages 19-32
    3. Ignacio Ruiz
      Pages 85-92
    4. Ignacio Ruiz
      Pages 93-103
    5. Ignacio Ruiz
      Pages 126-142
    6. Ignacio Ruiz
      Pages 143-166
    7. Ignacio Ruiz
      Pages 167-189
  4. The XVA Challenge

    1. Front Matter
      Pages 191-191
    2. Ignacio Ruiz
      Pages 193-222
    3. Ignacio Ruiz
      Pages 223-240
    4. Ignacio Ruiz
      Pages 241-256
    5. Ignacio Ruiz
      Pages 257-273
    6. Ignacio Ruiz
      Pages 274-290
  5. Further to XVA

    1. Front Matter
      Pages 291-291
    2. Ignacio Ruiz
      Pages 293-301
    3. Ignacio Ruiz
      Pages 302-313
    4. Ignacio Ruiz
      Pages 314-330
  6. Back Matter
    Pages 345-407

About this book

Introduction

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.

Keywords

banking Banking Industry capital market Credit Risk Credit Risk Management derivatives Risk Management

Authors and affiliations

  • Ignacio Ruiz
    • 1
  1. 1.iRuiz ConsultingUK

Bibliographic information

Industry Sectors
Finance, Business & Banking
Engineering