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XVA: Credit, Funding and Capital Valuation Adjustments

XVA: Credit, Funding and Capital Valuation Adjustments

by Andrew Green

Editorial: Wiley
ISBN: 9781118556788
Número de páginas: 536
Formatos: pdf, ePub, mobi, fb2
Tamaño de archivo: 14 Mb
Fecha de publicación: 2021-01-17
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Descripción

The increased regulatory capital requirements introduced through Basel III have put highly critical focus on valuation and pricing of derivative contracts. XVA: Credit, Funding and Capital Valuation Adjustments provides detailed descriptions of a full range of models to calculate XVA valuation adjustments and provides the latest technical infrastructure needed to calculate XVA efficiently. This thorough treatment provides advanced coverage on Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA) to account for credit risk; Funding Valuation Adjustment (FVA) for the impact of funding costs associated with initial margin; Capital Valuation Adjustment (KVA) for the impact of Regulatory Capital and Tax Valuation Adjustment (TVA) for the impact of taxation on profits and losses. Then, it connects the dots between the theory, mathematical models and implementation of systems to perform the calculations accurately. The practical guidance in this valuable book makes navigating through the complexities of XVA adjustments easier and more rewarding. From simple analytic models to complex multi-asset class Monte Carlo engines, this complete resource is your one-stop solution for standing out from the competition by mastering this immensely critical aspect of finance today. The author's extensive experience as an XVA practitioner with a variety of banks offers an insightful perspective that enables you operate at sophisticated levels while: Properly including credit mitigants in CVA calculations to moderate counterparty risk Accounting for the ins and outs of the massive implications brought about by the regulatory framework introduced under Basel III Executing a unified approach that extends modelling framework for CVA, DVA and FVA to include KVA and MVA Overcoming the technological challenge of XVA calculations to measure XVA sensitivties accurately Calculation workflow and management of data volumes alongside model development Stay a step ahead of changes in derivative markets with XVA: Credit, Funding and Capital Valuation Adjustments.