Thorough, accessible coverage of the key issues in XVA XVA – Credit,
Funding and Capital Valuation Adjustments provides specialists and
non-specialists alike with an up-to-date and comprehensive treatment
of Credit, Debit, Funding, Capital and Margin Valuation Adjustment
(CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well
as broader IT engineering challenges. Written by an industry expert,
this book navigates you through the complexities of XVA, discussing in
detail the very latest developments in valuation adjustments including
the impact of regulatory capital and margin requirements arising from
CCPs and bilateral initial margin. The book presents a unified
approach to modelling valuation adjustments including credit risk,
funding and regulatory effects. The practical implementation of XVA
models using Monte Carlo techniques is also central to the book.
You'll also find thorough coverage of how XVA sensitivities can be
accurately measured, the technological challenges presented by XVA,
the use of grid computing on CPU and GPU platforms, the management of
data, and how the regulatory framework introduced under Basel III
presents massive implications for the finance industry. Explores how
XVA models have developed in the aftermath of the credit crisis The
only text to focus on the XVA adjustments rather than the broader
topic of counterparty risk. Covers regulatory change since the credit
crisis including Basel III and the impact regulation has had on the
pricing of derivatives. Covers the very latest valuation
adjustments, KVA and MVA. The author is a regular speaker and trainer
at industry events, including WBS training, Marcus Evans, ICBI,
Infoline and RISK If you're a quantitative analyst, trader, banking
manager, risk manager, finance and audit professional, academic or
student looking to expand your knowledge of XVA, this book has you
covered.
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Produktdetaljer
ISBN
9781118556764
Publisert
2018
Utgave
1. utgave
Utgiver
Vendor
Wiley Professional, Reference & Trade
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter