By Andrew Green
Thorough, obtainable assurance of the main matters in XVA
XVA – credits, investment and Capital Valuation Adjustments provides experts and non-specialists alike with an updated and complete therapy of credits, Debit, investment, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), together with modelling frameworks in addition to broader IT engineering demanding situations. Written by means of an professional, this publication navigates you thru the complexities of XVA, discussing intimately the very most modern advancements in valuation alterations together with the influence of regulatory capital and margin specifications bobbing up from CCPs and bilateral preliminary margin.
The booklet provides a unified method of modelling valuation changes together with credits hazard, investment and regulatory results. the sensible implementation of XVA types utilizing Monte Carlo ideas is additionally valuable to the publication. you will additionally locate thorough assurance of the way XVA sensitivities might be properly measured, the technological demanding situations provided by means of XVA, using grid computing on CPU and GPU systems, the administration of information, and the way the regulatory framework brought below Basel III provides great implications for the finance industry.
- Explores how XVA versions have constructed within the aftermath of the credits crisis
- The merely textual content to target the XVA alterations instead of the wider subject of counterparty risk.
- Covers regulatory switch because the credits situation together with Basel III and the effect law has had at the pricing of derivatives.
- Covers the very most recent valuation changes, KVA and MVA.
- The writer is a standard speaker and coach at occasions, together with WBS education, Marcus Evans, ICBI, Infoline and RISK
If you are a quantitative analyst, dealer, banking supervisor, chance supervisor, finance and audit expert, educational or scholar seeking to extend your wisdom of XVA, this booklet has you covered.
Read Online or Download XVA: Credit, Funding and Capital Valuation Adjustments (The Wiley Finance Series) PDF
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Thorough, obtainable insurance of the most important matters in XVA XVA – credits, investment and Capital Valuation Adjustments provides experts and non-specialists alike with an updated and accomplished remedy of credits, Debit, investment, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), together with modelling frameworks in addition to broader IT engineering demanding situations.
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Additional resources for XVA: Credit, Funding and Capital Valuation Adjustments (The Wiley Finance Series)
XVA: Credit, Funding and Capital Valuation Adjustments (The Wiley Finance Series) by Andrew Green