Series -- Title page -- Copyright -- Dedication -- Lists of Spreadsheets -- Lists of Appendices -- Acknowledgements -- About the Author -- 1 Introduction -- 2 The Global Financial Crisis -- 2.1 Pre-crisis -- 2.2 The crisis -- 2.3 Regulatory reform -- 2.4 Backlash and criticisms -- 2.5 A new world -- Notes -- 3 The OTC Derivatives Market -- 3.1 The derivatives market -- 3.2 Derivative risks -- 3.3 Risk management of derivatives -- Notes -- 4 Counterparty Risk -- 4.1 Background -- 4.2 Components -- 4.3 Control and quantification -- 4.4 Beyond CVA -- 4.5 Summary -- Notes -- 5 Netting, Close-out and Related Aspects -- 5.1 Introduction -- 5.2 Default, netting and close-out -- 5.3 Multilateral netting and trade compression -- 5.4 Termination features and resets -- 5.5 Summary -- Notes -- 6 Collateral -- 6.1 Introduction -- 6.2 Collateral terms -- 6.3 Mechanics of collateral -- 6.4 Collateral and funding -- 6.5 Collateral usage -- 6.6 The risks of collateral -- 6.7 Regulatory collateral requirements -- 6.8 Converting counterparty risk into funding liquidity risk -- 6.9 Summary -- Notes -- 7 Credit Exposure and Funding -- 7.1 Credit exposure -- 7.2 Metrics for exposure -- 7.3 Factors driving exposure -- 7.4 The impact of netting and collateral on exposure -- 7.5 Funding, rehypothecation and segregation -- 7.6 Summary -- Notes -- 8 Capital Requirements and Regulation -- 8.1 Background to Credit Risk Capital -- 8.2 Current Exposure Method (CEM) -- 8.3 The Internal Model Method (IMM) -- 8.4 Standardised Approach for Counterparty Credit Risk (SA-CCR) -- 8.5 Comparison of EAD Methods -- 8.6 Basel III -- 8.7 CVA Capital Charge -- 8.8 Other Important Regulatory Requirements -- 8.9 Summary -- Notes -- 9 Counterparty Risk Intermediation -- 9.1 Introduction -- 9.2 SPVs, DPCs, CDPCs and monolines -- 9.3 Central counterparties -- 9.4 Summary -- Notes.

10 Quantifying Credit Exposure -- 10.1 Introduction -- 10.2 Methods for quantifying credit exposure -- 10.3 Monte Carlo methodology -- 10.4 Real-world or risk-neutral -- 10.5 Model choice -- 10.6 Examples -- 10.7 Allocating exposure -- 10.8 Summary -- Notes -- 11 Exposure and the Impact of Collateral -- 11.1 Overview -- 11.2 Margin period of risk -- 11.3 Numerical examples -- 11.4 Initial margin -- 11.5 Summary -- Notes -- 12 Default Probabilities, Credit Spreads and Funding Costs -- 12.1 Overview -- 12.2 Default probability -- 12.3 Credit curve mapping -- 12.4 Generic curve construction -- 12.5 Funding curves and capital costs -- 12.6 Summary -- Notes -- 13 Discounting and Collateral -- 13.1 Overview -- 13.2 Discounting -- 13.3 Beyond perfect collateralisation -- 13.4 Collateral valuation adjustments -- 13.5 Summary -- Notes -- 14 Credit and Debt Value Adjustments -- 14.1 Overview -- 14.2 Credit value adjustment -- 14.3 Impact of credit assumptions -- 14.4 CVA allocation and pricing -- 14.5 CVA with collateral -- 14.6 Debt value adjustment -- 14.7 Summary -- Notes -- 15 Funding Value Adjustment -- 15.1 Funding and derivatives -- 15.2 Funding value adjustment -- 15.3 The practical use of FVA -- 15.4 Summary -- Notes -- 16 Margin and Capital Value Adjustments -- 16.1 Overview -- 16.2 Margin value adjustment -- 16.3 Capital value adjustment -- 16.4 Summary -- Notes -- 17 Wrong-way Risk -- 17.1 Overview -- 17.2 Overview of wrong-way risk -- 17.3 Quantification of wrong-way risk -- 17.4 Wrong-way risk modelling approaches -- 17.5 Summary -- Notes -- 18 xVA Management -- 18.1 Introduction -- 18.2 The role of an xVA desk -- 18.3 Hedging xVA -- 18.4 xVA systems -- 18.5 Summary -- Notes -- 19 xVA Optimisation -- 19.1 Overview -- 19.2 Market practice -- 19.3 Examples -- 19.4 Costs and the balance of xVA terms -- 19.5 xVA optimisation -- 19.6 Summary -- Notes.

20 The Future -- Glossary -- References -- Index -- EULA.