any book for cva?

[JLMARTIN]

Hi all

any good book to introduce CVA?

I checked Andy's reading list but found nothing

Thanks!

 

[Ole Bueker]

I recently acquired the newly published book from Brigo, Mironi & Pallavicini - Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (The Wiley Finance Series)

Highly recommended and very up2date since it is based on many recent papers about the topic (many of those are written by the authors who are recognized experts in this field).

 

[JLMARTIN]

Thanks @Ole Bueker ! it looks pretty promissing, what i like is that it explains for several kinds of asset...

I wonder if there exists any other (cheaper) recomendations...

 

[Sanket Patel]

http://www.amazon.com/Counterparty-Credit-Risk-Value-Adjustment/dp/1118316673

and

http://www.amazon.com/Modelling-Pri...=8-1&keywords=counterparty+credit+risk+cesari

 

[cmrm]

Here is a paper showing you how to compute CVA correctly
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2267508