XVA

Beschreibung

Thorough, accessible coverage of the key issues inXVA XVA - Credit, Funding and Capital ValuationAdjustments provides specialists and non-specialists alikewith 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 ITengineering challenges. Written by an industry expert, this booknavigates you through the complexities of XVA, discussing in detailthe very latest developments in valuation adjustments including theimpact of regulatory capital and margin requirements arising fromCCPs and bilateral initial margin. The book presents a unified approach to modelling valuationadjustments including credit risk, funding and regulatory effects.The practical implementation of XVA models using Monte Carlotechniques is also central to the book. You'll also find thoroughcoverage of how XVA sensitivities can be accurately measured, thetechnological challenges presented by XVA, the use of gridcomputing on CPU and GPU platforms, the management of data, and howthe regulatory framework introduced under Basel III presentsmassive implications for the finance industry. * Explores how XVA models have developed in the aftermath of thecredit crisis * The only text to focus on the XVA adjustments rather than thebroader topic of counterparty risk. * Covers regulatory change since the credit crisis includingBasel III and the impact regulation has had on the pricing ofderivatives. * 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, riskmanager, finance and audit professional, academic or studentlooking to expand your knowledge of XVA, this book has youcovered.

Autor*in

Andrew Green

Themen in »XVA«

Finance & Investments Finanz- u. Anlagewesen Finanzwesen

Stimmen zu »XVA«

Details

Link teilen