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The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin by Jon Gregory, Ph.D. (Independent Trainer and Consultant) at Abbey's Bookshop,
The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin
— —
Jon Gregory, Ph.D. (Independent Trainer and Consultant)

The xVA Challenge

Counterparty Risk, Funding, Collateral, Capital and Initial Margin

Jon Gregory, Ph.D. (Independent Trainer and Consultant)

$149.95

Hardback

Not in-store but you can order this
How long will it take?
English
John Wiley & Sons Inc
20 May 2020
Finance & accounting
Series: Wiley Finance
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.
By:  
Imprint:   John Wiley & Sons Inc
Country of Publication:   United States
Edition:   4th edition
Dimensions:   Height: 246mm,  Width: 180mm,  Spine: 46mm
Weight:   1.383kg
ISBN:   9781119508977
ISBN 10:   1119508975
Series:   Wiley Finance
Pages:   704
Publication Date:  
Audience:   General/trade ,  ELT Advanced
Format:   Hardback
Publisher's Status:   Active

JON GREGORY, PHD, is an independent expert specialising in counterparty risk and related aspects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and is a faculty member for the Certificate of Quantitative Finance (CQF). Jon has a PhD from Cambridge University.

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