The xVA Challenge : Counterparty Risk, Funding, Collateral, Capital and Initial Margin 4th Edition

The xVA Challenge : Counterparty Risk, Funding, Collateral, Capital and Initial Margin 4th Edition – Ebook Instant Download/Delivery ISBN(s): 9781119508977,9781119508991,9781119509004,1119508975,1119508991,1119509009

Product details:

• ISBN-10 ‏ : ‎ 1119509009
• ISBN-13 ‏ : ‎ 9781119509004
• Author: Jon Gregory

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.

Table contents:

1 Introduction

2 Derivatives

3 Counterparty Risk and Beyond

4 Regulation

5 What is xVA?

6 Netting, Close-Out, and Related Aspects

7 Margin (Collateral) and Settlement

8 Central Clearing

9 Initial Margin Methodologies

10 The Impact and Risk of Clearing and Margining

11 Future Value and Exposure

12 Credit Spreads, Default Probabilities, and LGDs

13 Regulatory Methodologies

14 Funding, Margin, and Capital Costs

15 Quantifying Exposure

16 The Starting Point and Discounting

17 CVA

18 FVA

19 KVA

20 MVA

21 Actively Managing xVA and the Role of an xVA Desk

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