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The xVA Challenge, Fourth Edition - Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Hardcover, 4th Edition)
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The xVA Challenge, Fourth Edition - Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Hardcover, 4th Edition)
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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.
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