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.
General
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