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The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4. Jon Gregory

The-xVA-Challenge-Counterparty.pdf
ISBN: 9781119508977 | 704 pages | 18 Mb

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

Free textbooks downloads The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4 (English Edition) 9781119508977

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 Credit Risk, Funding
Read 3 reviews from the world's largest community for readers. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital (The book focused on CVA initially approx 7years whilst interning and reread recently this version! Central Clearing and Bilateral Margin Requirements for OTC Derivatives. Collateral Management: A Guide to Mitigating Counterparty
Collateral Management: A Guide to Mitigating Counterparty Risk (Wiley Finance) [Simmons, Michael] on Amazon.com. Usually ships within 3 to 4 days. See all formats and editions Hide other formats and editions The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Wiley Finance). XVA metrics for CCP optimization in: Statistics & Risk
C. Albanese and S. Crépey, Capital valuation adjustment and funding valuation J. Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and A. Khwaja, CCP initial margin models—A comparison, preprint (2016), algos for optimising MVA, Risk Magazine (2017); preprint version available at  [The xVA Challenge: Counterparty Credit Risk, Funding
See all formats and editions Hide other formats and editions The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Wiley Finance). Jon GregoryJon Gregory Counterparty Credit Risk: The new challenge for global financial markets (The Wiley Finance Series) Hardcover January 26, 2010. 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  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