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
xvadesks
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