Description: xVa Challenge : Counterparty Risk, Funding, Collateral, Capital and Initial Margin, Hardcover by Gregory, Jon, ISBN 1119508975, ISBN-13 9781119508977, Like New Used, Free shipping in the US
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 (. 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.
Price: 87.39 USD
Location: Jessup, Maryland
End Time: 2024-11-02T10:04:45.000Z
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Item Specifics
Restocking Fee: No
Return shipping will be paid by: Buyer
All returns accepted: Returns Accepted
Item must be returned within: 14 Days
Refund will be given as: Money Back
Edition: 4
Book Title: Xva Challenge : Counterparty Risk, Funding, Collateral, Capital and Initial Margin
Number of Pages: 704 Pages
Language: English
Publisher: Wiley & Sons, Incorporated, John
Item Height: 1.8 in
Topic: Finance / General
Publication Year: 2020
Illustrator: Yes
Genre: Business & Economics
Item Weight: 50.5 Oz
Author: Jon Gregory
Item Length: 9.7 in
Item Width: 7.1 in
Book Series: Wiley Finance Ser.
Format: Hardcover
