Rates, Credit, XVA and Risk

Rates Modelling

1. 1 Curve Construction 8 solved exercises
2. 2 Multi-Curve and Collateral Discounting 8 solved exercises
3. 3 Rates Risk 8 solved exercises
4. 4 Vanilla Rates Options 8 solved exercises
5. 5 SABR in Rates and the Volatility Cube 8 solved exercises
6. 6 Convexity Adjustments and Constant-Maturity Products 8 solved exercises
7. 7 Short-Rate Models 8 solved exercises
8. 8 Forward-Rate and Market Models 8 solved exercises
9. 9 Bermudans and Callables 8 solved exercises
10. 10 Modelling Overnight-Rate Products 8 solved exercises
11. 11 Inflation Derivatives 8 solved exercises
12. 12 Mortgage Modelling 8 solved exercises

Credit and Commodities Modelling

1. 13 Reduced-Form Credit 8 solved exercises
2. 14 Structural Credit Models 8 solved exercises
3. 15 Portfolio Credit 8 solved exercises
4. 16 Commodity and Energy Derivatives 8 solved exercises

Valuation Adjustments

1. 17 Counterparty Exposure 8 solved exercises
2. 18 Credit and Debit Valuation Adjustments 8 solved exercises
3. 19 Funding, Margin and Capital Adjustments 8 solved exercises
4. 20 The Valuation-Adjustment Desk 8 solved exercises

Risk

1. 21 Market-Risk Measures 8 solved exercises
2. 22 Stress Testing and Scenarios 8 solved exercises
3. 23 Regulatory Capital for Trading Books 8 solved exercises
4. 24 Liquidity and Funding Risk; Bank Treasury 8 solved exercises
5. 25 Margin Models 8 solved exercises
6. 26 Model Risk and Validation 8 solved exercises
7. 27 P&L Explain and Independent Price Verification 8 solved exercises
8. 28 Operational Risk and Rogue Trading 8 solved exercises
9. 29 Build: A Risk Engine 8 solved exercises

29 chapters — 29 online so far, and more publishing regularly. The complete book is already available as a free PDF you can read online.