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The Handbook of XVA and Counterparty Risk: for FRTB and FRTB-CVA

The Handbook of XVA and Counterparty Risk: for FRTB and FRTB-CVA

Alexander Sokol

ISBN: 978-1-119-32770-7

Jun 2018

350 pages

Select type: Hardcover

$75.00

Product not available for purchase

Description

The book will address all aspects of portfolio simulation from a technical perspective. It is intended as a hands-on guide for quants and software engineers who implement portfolio simulation models and will cover:

  • Applications (including CVA/FVA and PFE as well as Counterparty Credit Risk)
  • Correlation and Cointegration
  • Model Set-Up and Simulation
  • Backward Induction
  • Interest Rate Modelling
  • FX and Cross-Currency
  • Credit Spreads
  • Equity and Commodity Models
  • Wrong-Way Risk