Gregory Jon Ph. D. (Independent Trainer And Consultant)
The Xva Challenge Counterparty Risk Funding Collateral Capital And Initial Margin
The Xva Challenge Counterparty Risk Funding Collateral Capital And Initial Margin
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Binding: Hardcover
Description: A thoroughly updated and expanded edition of the x V a 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 (x V As ). The quantification of x V a is now seen as fundamental to derivatives pricing and valuation. The x V a 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 x V a. The pricing and valuation of the different x V a 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 x V a 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 x V a and how it is used by banks financial institutions and end - users of derivatives Explains all of the underlying regulatory capital (e. g.s a - CCRs a - CV a) and liquidity requirements (NSFR and LCR) and their impact on x V a 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 CV a DV a FV a and potentially other valuation adjustments Explains all of the valuation adjustments CV a DV a FV a Col V a MV a and KV a in detail and how they fit together Covers quantification of x V a 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.
Title: The Xva Challenge Counterparty Risk Funding Collateral Capital And Initial Margin
Author(s): Gregory Jon Ph. D. (Independent Trainer And Consultant)
Publisher: John Wiley & Sons Inc
Barcode: 9781119508977
Pages: 704 Pages
Publication Date: 7/15/2020
Series: Wiley Finance
Category: Finance & Accounting
Description: A thoroughly updated and expanded edition of the x V a 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 (x V As ). The quantification of x V a is now seen as fundamental to derivatives pricing and valuation. The x V a 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 x V a. The pricing and valuation of the different x V a 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 x V a 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 x V a and how it is used by banks financial institutions and end - users of derivatives Explains all of the underlying regulatory capital (e. g.s a - CCRs a - CV a) and liquidity requirements (NSFR and LCR) and their impact on x V a 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 CV a DV a FV a and potentially other valuation adjustments Explains all of the valuation adjustments CV a DV a FV a Col V a MV a and KV a in detail and how they fit together Covers quantification of x V a 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.
Title: The Xva Challenge Counterparty Risk Funding Collateral Capital And Initial Margin
Author(s): Gregory Jon Ph. D. (Independent Trainer And Consultant)
Publisher: John Wiley & Sons Inc
Barcode: 9781119508977
Pages: 704 Pages
Publication Date: 7/15/2020
Series: Wiley Finance
Category: Finance & Accounting
