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Palgrave Macmillan

XVA Desks - A New Era for Risk Management

Understanding, Building and Managing Counterparty, Funding and Capital Risk

  • Book
  • © 2015

Overview

Authors:
  1. Ignacio Ruiz

    1. iRuiz Consulting, UK

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Part of the book series: Applied Quantitative Finance (AQF)

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Table of contents (19 chapters)

  1. Front Matter

    Pages i-xxiii
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  2. The Context

    1. Front Matter

      Pages 1-1
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    2. The Banking Industry, OTC Derivatives and the New XVA Challenge

      • Ignacio Ruiz
      Pages 3-15

  3. Quantitative Fundamentals

    1. Front Matter

      Pages 17-17
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    2. The Roots of Counterparty Credit Risk

      • Ignacio Ruiz
      Pages 19-32

    3. Exposure Measurement for Uncollateralised Portfolios

      • Ignacio Ruiz
      Pages 33-69

    4. Exposure Measurement for Collateralised Portfolios

      • Ignacio Ruiz
      Pages 70-84

    5. Exposure Allocation

      • Ignacio Ruiz
      Pages 85-92

    6. Proxies for Exposure Measurement

      • Ignacio Ruiz
      Pages 93-103

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

      • Ignacio Ruiz
      Pages 104-125

    8. Pricing Counterparty Credit Risk

      • Ignacio Ruiz
      Pages 126-142

    9. Regulatory Capital

      • Ignacio Ruiz
      Pages 143-166

    10. Right and Wrong Way Risk

      • Ignacio Ruiz
      Pages 167-189

  4. The XVA Challenge

    1. Front Matter

      Pages 191-191
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    2. CVA Desk, a Bilateral Dance

      • Ignacio Ruiz
      Pages 193-222

    3. FVA Desk, the Effect of Funding

      • Ignacio Ruiz
      Pages 223-240

    4. Calculating and Managing FVA

      • Ignacio Ruiz
      Pages 241-256

    5. KVA Desk, Capital Management, and RAROC

      • Ignacio Ruiz
      Pages 257-273

    6. XVA Desks: A New Era for Risk Management

      • Ignacio Ruiz
      Pages 274-290

  5. Further to XVA

    1. Front Matter

      Pages 291-291
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Keywords

About this book

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.

Authors and Affiliations

  • iRuiz Consulting, UK

    Ignacio Ruiz

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 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.

Bibliographic Information

  • Book Title: XVA Desks - A New Era for Risk Management

  • Book Subtitle: Understanding, Building and Managing Counterparty, Funding and Capital Risk

  • Authors: Ignacio Ruiz

  • Series Title: Applied Quantitative Finance

  • DOI: https://doi.org/10.1057/9781137448200

  • Publisher: Palgrave Macmillan London

  • eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s) 2015

  • Hardcover ISBN: 978-1-137-44819-4Published: 28 April 2015

  • eBook ISBN: 978-1-137-44820-0Published: 27 April 2015

  • Series ISSN: 2947-700X

  • Series E-ISSN: 2947-7018

  • Edition Number: 1

  • Number of Pages: XXIII, 407

  • Topics: Risk Management, Banking, Financial Engineering

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