دانلود کتاب XVA Desks — A New Era for Risk Management: Understanding, Building and Managing Counterparty, Funding and Capital Risk

فهرست مطالب :

Front Matter....Pages i-xxiii
Front Matter....Pages 1-1
The Banking Industry, OTC Derivatives and the New XVA Challenge....Pages 3-15
Front Matter....Pages 17-17
The Roots of Counterparty Credit Risk....Pages 19-32
Exposure Measurement for Uncollateralised Portfolios....Pages 33-69
Exposure Measurement for Collateralised Portfolios....Pages 70-84
Exposure Allocation....Pages 85-92
Proxies for Exposure Measurement....Pages 93-103
Default Probability, Loss Given Default, and Credit Portfolio Models....Pages 104-125
Pricing Counterparty Credit Risk....Pages 126-142
Regulatory Capital....Pages 143-166
Right and Wrong Way Risk....Pages 167-189
Front Matter....Pages 191-191
CVA Desk, a Bilateral Dance....Pages 193-222
FVA Desk, the Effect of Funding....Pages 223-240
Calculating and Managing FVA....Pages 241-256
KVA Desk, Capital Management, and RAROC....Pages 257-273
XVA Desks: A New Era for Risk Management....Pages 274-290
Front Matter....Pages 291-291
Model Risk Management....Pages 293-301
Backtesting Risk Models....Pages 302-313
Systems and Project Management....Pages 314-330
Central Clearing and the Future of Derivatives....Pages 331-344
Back Matter....Pages 345-407