Xva : Credit, Funding and Capital Valuation Adjustments PDF ePub eBook

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Xva  :  Credit, Funding and Capital Valuation Adjustments free pdf

Thorough, accessible coverage of the key issues in XVA

"XVA - Credit, Funding and Capital Valuation Adjustments" provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin.

The book presents a unified approach to modelling valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry. Explores how XVA models have developed in the aftermath of the credit crisis The only text to focus on the XVA adjustments rather than the broader topic of counterparty risk. Covers regulatory change since the credit crisis including Basel III and the impact regulation has had on the pricing of derivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events, including WBS training, Marcus Evans, ICBI, Infoline and RISK

If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge of XVA, this book has you covered.

About Andrew Green

Regrettably, right now we cannot supply you with specifics of the particular Founder Andrew Green. Nevertheless doesn't imply that any of us don't work on her assortment. Additionally we request that you just allow us to within this make any difference. When you have spare time and need will profoundly appreciate should you offer people your information. Any time receiving this kind of feedback and data from people with regards to the Xva : Credit, Funding and Capital Valuation Adjustments Writer Andrew Green, we all first your ex examine. When all of us be certain that just about all correct, simply just post the item. Many of us fully grasp this enable along with many thanks before hand.

Details Book

Author : Andrew Green
Publisher : Wiley
Data Published : December 2015
ISBN : 9781118556788
EAN : 9781313927147
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 536 pages
Age + : years
Language : English
Rating :

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    Thorough, accessible coverage of the key issues in XVA

    "XVA - Credit, Funding and Capital Valuation Adjustments" provides specialists and non-specialists ali