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Opis

XVA Desks: A New Era for Risk Management is a comprehensive guide to the fundamentals and latest developments in this rapidly expanding field, with a special focus in the emergence of XVA desks. Written by a seasoned practitioner, it begins with an overview of the role of OTC derivatives in the current banking industry, providing a context for the subject. The book then goes into the fundamentals of counterparty credit and funding risk, explaining in detail how to build models for them. This includes an in-depth explanation of how to implement Monte Carlo simulations, how to model collateral, how to allocate exposure between counterparties, netting sets and trades, simplified calculations, as well as the role of central counterparties. The book also explains the concepts and modelling techniques for right and wrong way risk, one of the most complicated parts of counterparty credit risk, demonstrating its impact with several examples. 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, management, their inter-relationships, hedging, connections with risk reserves and how they are changing so profoundly trading and risk management behaviour in derivative houses. The book also covers the calculation of regulatory capital in financial institutions, explaining all the necessary components and with a special focus on advanced approaches. A full chapter is dedicated to the emergence of model risk management from the classic model validation functions, 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, and students and researchers in this space.

Szczegóły książki

• Pełny tytuł: XVA Desks - A New Era for Risk Management
• Podtytuł: Understanding, Building and Managing Counterparty, Funding and Capital Risk
• Autor: Ignacio Ruiz
• Język: Angielski
• Oprawa: Twarda
• Liczba stron: 407
• EAN: 9781137448194
• ISBN: 1137448199
• ID: 08013239
• Wydawca: Palgrave Macmillan
• Waga: 984 g
• Wymiary: 200 × 255 × 29 mm
• Data wydania: 28. April 2015

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