XVA desks : a new era for risk management : understanding, building and managing counterparty, funding and capital risk
著者
書誌事項
XVA desks : a new era for risk management : understanding, building and managing counterparty, funding and capital risk
（Applied quantitative finance series）
Palgrave Macmillan, 2015
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注記
Includes bibliographical references (p. 393-395) and index
内容説明・目次
内容説明
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.
目次
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
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