XVA Credit, Funding and Capital Valuation Adjustments
Aus der Reihe
Wiley Finance Series
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Form:Einzelkauf Download
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Sprache:Englisch
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eBook Format:PDF
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- PDF 63,99 € ausgewählt
63,99 €
inkl. gesetzl. MwSt.Beschreibung
Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Nein
Erscheinungsdatum
23.10.2015
Verlag
PolitySeitenzahl
536 (Printausgabe)
Dateigröße
12775 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9781118556757
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.
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.
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