I am looking for some good text books for Counterparty risk management and measurement with many working examples. Could you please suggest few such books.
Thanks for your help.
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1$\begingroup$ You are unlikely to find much that is not about credit. If you want references to relevant academic literature, I would ask for those. $\endgroup$– kurtosisCommented Sep 16, 2020 at 21:22
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$\begingroup$ Can you share such references? $\endgroup$– DanielCommented Sep 16, 2020 at 22:42
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$\begingroup$ CVA? I.e. counterparty credit risk management or something else? $\endgroup$– user42108Commented Sep 16, 2020 at 23:19
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$\begingroup$ CVA and XVA don't really cover the area well. It's sufficient for what regulators want, but it is poor if you are trying to legitimately estimate risk. The issue is the potential for systemic risk -- when counterparty risk bubbles over and contagion becomes possible. $\endgroup$– kurtosisCommented Sep 16, 2020 at 23:44
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1$\begingroup$ Actually, this brings up a good point: do you want to model counterparty risk to possibly get at systemic risk or merely counterparty credit risk (say, for regulatory purposes) and ignore systemic risk concerns. The two are very different. $\endgroup$– kurtosisCommented Sep 17, 2020 at 1:15
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