Cantitate/Preț
Produs
Total produse
Vezi coșul
XVA Desks - A New Era for Risk Management: Understanding, Building and Managing Counterparty, Funding and Capital Risk de I. Ruiz

XVA Desks - A New Era for Risk Management: Understanding, Building and Managing Counterparty, Funding and Capital Risk: Applied Quantitative Finance

Autor I. Ruiz
en Limba Engleză Hardback – 28 apr 2015
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.
Citește tot Restrânge

Din seria Applied Quantitative Finance

  • 8% Zero Lower Bound Term Structure Modeling: A Practitioner’s Guide
    Preț: 56496 lei
  • 15% SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python
    Preț: 57090 lei
  • 11% Equity Derivatives and Hybrids: Markets, Models and Methods
    Preț: 57034 lei
  • 15% Modern Derivatives Pricing and Credit Exposure Analysis: Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting
    Preț: 58470 lei
  • 15% Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation
    Preț: 57166 lei
  • 11% Modeling and Valuation of Energy Structures: Analytics, Econometrics, and Numerics
    Preț: 68761 lei
  • 14% The Validation of Risk Models: A Handbook for Practitioners
    Preț: 75712 lei
  • Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing
    Preț: 48001 lei
  • Quantitative Finance: Back to Basic Principles
    Preț: 47123 lei
  • 14% Optimization Methods for Gas and Power Markets: Theory and Cases
    Preț: 70232 lei
  • 8% FX Barrier Options: A Comprehensive Guide for Industry Quants
    Preț: 47473 lei

Preț: 72627 lei

Preț vechi: 88570 lei
-18% Nou

Puncte Express: 1089
Preț estimativ în valută:
13898€ • 14618$ • 11613£

Carte tipărită la comandă

Livrare economică 08-22 ianuarie 25

 Adaugă în coș

Wish list
Gift list
Am citit!
Adaugă în listă
Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9781137448194
ISBN-10: 1137448199
Pagini: 407
Ilustrații: XXIII, 407 p.
Dimensiuni: 178 x 254 x 33 mm
Greutate: 1.02 kg
Ediția:2015
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Seria Applied Quantitative Finance

Locul publicării:London, United Kingdom

Cuprins

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

Notă biografică

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.