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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 - Wiley-VCH
The xVA Challenge. Counterparty Risk, Funding, Collateral, Capital and Initial Margin. Gregory, Jon. Wiley Finance Editions. Cover. 4. Auflage Mai 2020
The Xva Challenge Counterparty Risk, Funding, Collateral, Capital
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The xVA Challenge, Counterparty Risk, Funding, Collateral
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Counterparty risk and xVA Consulting and Training
CVA Central specialises in providing Counterparty risk and xVA Consulting and He covers all topics related to xVA such as the treatment of CVA/DVA/FVA, initial margin xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital Central Clearing and Bilateral Margin Requirements for OTC Derivatives.
XVA - Wikipedia
While the CVA reflects the market value of counterparty credit risk, additional Valuation Adjustments for debit, funding cost, regulatory capital and margin may
The xVA Challenge: Counterparty Credit Risk, Funding
The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of Thoroughly revised and updated, the third edition contains an updated examination of the emergence of
The Xva Challenge: Counterparty Risk, Funding, Collateral
Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Sprache: Englisch). Autor: Jon Gregory A thoroughly updated and expanded edition of the xVA challenge. The period since the Coming Home For Christmas (2 CDs).
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