[Pdf/ePub] The xVA Challenge: Counterparty

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

The-xVA-Challenge.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

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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: Counterparty Credit Risk, Funding
newer edition of this item: The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Wiley Finance) and Capital (The Wiley. +. The Handbook of Fixed Income Securities, Eighth Edition facets of counterparty risk. This book is essential reading for regulators and all users of OTC derivatives. The xVA Challenge: Counterparty Credit Risk, Funding
Collateral and Capital. Third Edition First edition published 2009, second edition published 2012 by John Wiley & Sons, Ltd. Registered office 6.2.4 Initial margin. 74 7.5.4 Impact of collateral on credit and funding exposure. 138. The xVA Challenge : Jon Gregory : 9781119109419
The xVA Challenge : Counterparty Credit Risk, Funding, Collateral and Capital "The first and second editions of Jon Gregory's book on the post-crisis over-the-counter derivatives markets were classics, packed with a wealth of information. 71 6.2.3 Threshold 73 6.2.4 Initial margin 74 6.2.5 Minimum transfer amount and  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 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
The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4. by Jon GregoryJon Gregory. (0). Counterparty Credit Risk and Credit Value - Amazon.com
Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets (The Wiley Finance Series) - Kindle edition by Gregory, Jon. by Jon Gregory (Author) Format: Kindle Edition The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Wiley Finance). 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  In-House Training for 2017 - CVA Central
risk and xVA related projects. He has credit risk in his career, being previously with Barclays Capital, BNP Risk: The new challenge for global financial markets” (now in its third edition) and “Central Counterparties: The Impact of Mandatory The impact of IM on CVA and KVA. • MVA (initial margin). 4. CVA and DVA.

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