Ignacio Ruiz has condensed his extensive experience in the field of XVA into the book

XVA Desks – A New Era for Risk Management

Understanding, Building and Managing Counterparty, Funding and Capital Risk





Part I – The Context

1. The Banking Industry, OTC derivatives and the new XVA challenge


Part II – Quantitative Fundamentals

2. The Roots of Counterparty Credit Risk

3. Exposure Measurement for Uncollateralised Portfolios

4. Exposure Measurement for Collateralised Portfolios

5. Exposure Allocation

6. Proxies for Exposure Measurement

7. Default Probability, Loss Given Default and Credit Portfolio Models

8. Pricing Counterparty Credit Risk

9. Regulatory Capital

10. Right and Wrong Way Risk


Part III – The XVA Challenge

11. CVA desk, a bilateral dance

12. FVA desk, the effect of funding

13. Calculating and Managing FVA

14. KVA desk, capital management and RAROC

15. XVA desks: a New Era for Risk Management


Part IV – Further to XVA

16. Model Risk Management

17. Backtesting Risk Models

18. Systems & Project Management

19. Central Clearing & the Future of Derivatives