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XVA Desks — A New Era for Risk Management

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Cover of 'XVA Desks — A New Era for Risk Management'

Table of Contents

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    Book Overview
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    Chapter 1 The Banking Industry, OTC Derivatives and the New XVA Challenge
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    Chapter 2 The Roots of Counterparty Credit Risk
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    Chapter 3 Exposure Measurement for Uncollateralised Portfolios
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    Chapter 4 Exposure Measurement for Collateralised Portfolios
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    Chapter 5 Exposure Allocation
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    Chapter 6 Proxies for Exposure Measurement
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    Chapter 7 Default Probability, Loss Given Default, and Credit Portfolio Models
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    Chapter 8 Pricing Counterparty Credit Risk
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    Chapter 9 Regulatory Capital
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    Chapter 10 Right and Wrong Way Risk
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    Chapter 11 CVA Desk, a Bilateral Dance
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    Chapter 12 FVA Desk, the Effect of Funding
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    Chapter 13 Calculating and Managing FVA
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    Chapter 14 KVA Desk, Capital Management, and RAROC
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    Chapter 15 XVA Desks: A New Era for Risk Management
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    Chapter 16 Model Risk Management
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    Chapter 17 Backtesting Risk Models
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    Chapter 18 Systems and Project Management
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    Chapter 19 Central Clearing and the Future of Derivatives
Attention for Chapter 7: Default Probability, Loss Given Default, and Credit Portfolio Models
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