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XVA Desks - A New Era for Risk Management

Understanding, Building and Managing Counterparty, Funding and Capital Risk
BuchGebunden
407 Seiten
Englisch
Springer Palgrave Macmillanerschienen am28.04.20152015
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.mehr
Verfügbare Formate
BuchGebunden
EUR128,39
BuchKartoniert, Paperback
EUR85,59
E-BookPDF1 - PDF WatermarkE-Book
EUR117,69

Produkt

KlappentextWritten 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.
ZusammenfassungHIGHLY TOPICAL the CVA / DVA / FVA debate is central to everything happening in quantitative finance and risk management at the momentAUTHOR EXPERTISE - The author has hands on experience in the area, from building and coding CVA systems to high level board level strategy decisionsSUCCESSFUL TOPIC Kenyon's Discounting, LIBOR, CVA and Funding has been successful for Palgrave across print and digital formats, and we can expect similar if not better from this book
Details
ISBN/GTIN978-1-137-44819-4
ProduktartBuch
EinbandartGebunden
Erscheinungsjahr2015
Erscheinungsdatum28.04.2015
Auflage2015
ReiheApplied Quantitative Finance
Seiten407 Seiten
SpracheEnglisch
Gewicht934 g
IllustrationenXXIII, 407 p.
Artikel-Nr.33141118
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
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 Managementmehr

Autor

Ignacio Ruiz is the founder and a director at iRuiz Consulting, where he provides a range of services in Quantitative Risk Analytics, with a focus in the XVA space. He has a proven track record at designing risk methodologies, building risk analytics frameworks, managing projects to completion and providing training in tier-1 universal financial institutions, investment banks, corporates, hedge funds, asset managers and regulators. His work includes facilitating the set up of XVA desks and functions in trading institutions, building and validating counterparty credit and funding risk models, helping in the application of IMM waivers for capital calculation models, facilitating the communication between trading, risk management, quants and systems units, risk quantitative research, backtesting of risk models, computer implementation of risk systems, etc. He has several publications that are often referenced in derivative pricing and risk management circles.

Before setting up iRuiz Consulting, he held positions as head strategist for Counterparty Risk Exposure Measurement at Credit Suisse, Head of Equity Risk Methodology at BNP Paribas and Hedge Fund Analyst at Hamilton Lunn.

In addition to his consulting work, Ignacio has set up iRuiz Techonologies, which develops niche and innovative algorithm-based solutions for this market. The first of these technologies, launched in 2015, is 'MoCaX Intelligence', a novel technology that has been proven to accelerate XVA, risk and capital calculations by several orders of magnitude.

Ignacio is a regular speaker, and delivers tailored presentations and courses on XVA, risk management and technology topics to a number financial institutions, regulators, training companies, through conferences and to academic institutions. He holds a PhD in nano-physics from Cambridge University.
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