XVA Desks - A New Era for Risk Management: Understanding, Building and Managing Counterparty, Funding and Capital Risk (Applied Quantitative Finance)
| Author | : | |
| Rating | : | 4.58 (943 Votes) |
| Asin | : | 1137448199 |
| Format Type | : | paperback |
| Number of Pages | : | 407 Pages |
| Publish Date | : | 2014-01-21 |
| Language | : | English |
DESCRIPTION:
In addition to his consulting work, Ignacio has set up iRuiz Techonologies, which develops niche and innovative algorithm-based solutions for this market. He holds a PhD in nano-physics from Cambridge University.. He has several publications that are often referenced in derivative pricing and risk management circles. He has a proven track record at designing risk methodologies, building risk analytics framework
About the Author 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 several publications that are often referenced in derivative pricing and risk management circles. 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 implemen
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.