Applied Quantitative Finance: Understanding, Building and Managing Counterparty, Funding and Capital Risk

Ruiz, I.

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.

Details

Published by: Palgrave Macmillan

Publication Date: 2015-04-28

Format: Hardcover

ISBN-13: 9781137448194

DOI: 10.1057/9781137448200

Dimensions: 254cm x178cm

Pages: 407