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The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4 by Jon Gregory
- The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4
- Jon Gregory
- Page: 704
- Format: pdf, ePub, mobi, fb2
- ISBN: 9781119508977
- Publisher: Wiley
Download books goodreads The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4 by Jon Gregory
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 Risk, Funding, Collateral
A thoroughly updated and expanded edition of the xVA challenge The The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin. Front Cover. Jon Gregory. Wiley, Jun 4, 2020 - Business & Economics - 704 pages.
XVA metrics for CCP optimization in: Statistics & Risk
C. Albanese and S. Crépey, Capital valuation adjustment and funding valuation J. Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and A. Khwaja, CCP initial margin models—A comparison, preprint (2016), algos for optimising MVA, Risk Magazine (2017); preprint version available at
The Xva Challenge - Counterparty Credit Risk, Funding - eBay
JON GREGORY is an independent expert specialising in counterparty risk and The Xva Challenge - Counterparty Credit Risk, Funding, Collateral, and Capital 3 The new title 'xVA' of the third edition reflects the increased complexity 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
The xVA Challenge: Counterparty Credit Risk, Collateral
Published on TrainingIndustry.com, Articles, research and tools for the L&D professional to counterparty credit risk, collateral, funding, capital, and initial margin. edition of Jon's book "The xVA Challenge: Counterparty Credit Risk, Funding,
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.
Counterparty Credit Risk, Collateral and - Amazon.com
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (The Wiley Finance Series) - Kindle edition by Brigo, The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin XVA: Credit, Funding and Capital Valuation Adjustments (The Wiley Finance Series).
Counterparty Credit Risk, Collateral and Funding: With Pricing
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin Central Counterparties: Mandatory Central Clearing and Initial Margin Publisher : Wiley; 1st edition (April 22, 2013); Language : English; Hardcover
XVA - Wikipedia
While the CVA reflects the market value of counterparty credit risk, additional Valuation Adjustments for debit, funding cost, regulatory capital and margin may
Valuation Adjustments: The XVA Challenge Course - London
Please contact us for more information at info@londonfs.com. They will also receive the latest edition of Jon's book "The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin" published by Wiley Finance.
Central Counterparties: Mandatory Central - Amazon.com
Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives (The Wiley Finance Series) - Kindle edition by Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital
Valuation Adjustments: The xVA Challenge
The xVA Challenge. A practical 4-day course presented by by Jon Gregory relation to counterparty credit risk, collateral, funding, capital and initial margin. The concepts are They will also receive the latest edition of Jon's book "The xVA
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