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The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4
Jon Gregory
Page: 704
Format: pdf, ePub, mobi, fb2
ISBN: 9781119508977
Publisher: Wiley

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A thoroughly updated and expanded edition of the xVA challenge The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments (‘xVAs’). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implications of xVA. The pricing and valuation of the different xVA terms has become a much studied topic and many aspects are in constant debate both in industry and academia. • Discussing counterparty credit risk in detail, including the many risk mitigants, and how this leads to the different xVA terms • Explains why banks have undertaken a dramatic reappraisal of the assumptions they make when pricing, valuing and managing derivatives • Covers what the industry generally means by xVA and how it is used by banks, financial institutions and end-users of derivatives • Explains all of the underlying regulatory capital (e.g. SA-CCR, SA-CVA) and liquidity requirements (NSFR and LCR) and their impact on xVA • Underscores why banks have realised the significant impact that funding costs, collateral effects and capital charges have on valuation • Explains how the evolution of accounting standards to cover CVA, DVA, FVA and potentially other valuation adjustments • Explains all of the valuation adjustments – CVA, DVA, FVA, ColVA, MVA and KVA – in detail and how they fit together • Covers quantification of xVA terms by discussing modelling and implementation aspects. Taking into account the nature of the underlying market dynamics and new regulatory environment, this book brings readers up to speed on the latest developments on the topic.

The Xva Challenge Counterparty Risk, Funding, Collateral
A thoroughly updated and expanded edition of the xva challenge. The xva challenge: counterparty risk, collateral, funding and capital. xva challenge: counterparty risk, funding, collateral, capital and initial margin ed 4 or 
The xVA Challenge - Jon Gregory - Bok (9781119508977
Counterparty Risk, Funding, Collateral, Capital and Initial Margin expanded edition of the xVA challenge The period since the global financial crisis has seen a He is a senior advisor for Solum Financial Derivatives Advisory and is a faculty 
The Xva Challenge: Counterparty Risk, Funding, Collateral
Title: The Xva Challenge: Counterparty Risk, Funding, Collateral, Capital And Initial Margin. Seller assumes all responsibility for this listing. A thoroughly updated and expanded edition of the xVA challenge The period since the global financial crisis has seen a major re-appraisal of Initial Margin Methodologies 10.
Counterparty exposure in theory can be almost completely
Section: Credit Risk Measurement and Management Reference: Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 3rd initial margin, minimum transfer amount and rounding, haircuts, credit quality, and As a result of the ratings changes, the credit spread for HIP has increased 
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The xVA Challenge. Counterparty Risk, Funding, Collateral, Capital and Initial Margin. Edition No. 4. Wiley Finance.
Front Matter - Wiley Online Library
Credit Risk, Funding,. Collateral and Capital. Third Edition First edition published 2009, second edition published 2012 by John Wiley & Sons, Ltd. Registered 6.4.5 Variation and initial margin rehypothecation and segregation. 88 7.5.4 Impact of collateral on credit and funding exposure. 138.
The xVA Challenge Counterparty Credit Risk, Funding
Credit Risk, Funding,. Collateral and Capital. Third Edition 85. 6.4.4 Segregation. 87. 6.4.5 Variation and initial margin rehypothecation and segregation. 88 7.5.4 Impact of collateral on credit and funding exposure. 138. 7.5.5 Examples.
The xVA Challenge: Counterparty Credit Risk, Funding - Wiley
Counterparty credit risk and related aspects such as funding, collateral, and capital have and Capital provides expert perspective and real-world guidance for todays institutions. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital, 3rd Edition 6.1.3 Variation margin and initial margin 69.
The xVA Challenge: Counterparty Credit Risk Book
The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin The new title ′xVA′ of the third edition reflects the increased complexity generated by these changes. Jon Gregory provides This book is essential reading for regulators and all users of OTC derivatives.” Stuart M.
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The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Wiley Capital and Initial Margin (Wiley Finance) 4th Edition, Kindle Edition Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All 
The xVA challenge : counterparty risk, funding, collateral
Counterparty Risk, Funding, Collateral, Capital and Initial Margin Fourth Edition 10.3.3 Initial Margin 10.3.4 Cost and xVA 10.3.5 Seniority 10.3.6 Bilateral and