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XVA - Credit, Funding and Capital Valuation Adjustments

Name: XVA - Credit, Funding and Capital Valuation Adjustments
Brand: John Wiley & Sons Inc
SKU: 9781118556788
Price: 397.43 RON
Availability: InStock

Autor: Andrew Green

Limbă:

Legare: Copertă tare

Editura: John Wiley & Sons Inc

Disponibilitate: În depozitul extern

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397.43 lei

Provides technical coverage of key issues in CVA, DVA, and FVA in an accessible manner for specialis...

Informații despre carte

Autor

Andrew Green

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2015

Pagini

536

EAN

9781118556788

ISBN

111855678X

Enbook ID

02099034

Editura

John Wiley & Sons Inc

Greutate

1058

Dimensiuni

256 x 180 x 35

Descriere completă

Provides technical coverage of key issues in CVA, DVA, and FVA in an accessible manner for specialists and non-specialist alike§In the wake of the global credit crisis credit valuation adjustment (CVA), debit valuation adjustment (DVA) and funding valuation adjustment (FVA) models have developed rapidly to address changing market conditions and practices. Counterparty and funding risks now lie at the heart of financial markets, with dealers moving quickly to report these risks and establish risk management functions to mitigate then. Written by the head of Quantitative Research- CVA / FVA, Lloyds Banking Group, this book provides an up-to-date, comprehensive treatment of all three, while providing modeling frameworks for them. It also provides in-depth discussions of the information system engineering challenges presented by their calculation and risk management.§Written for specialists and non-specialists alike, it guides you through the complexities of CVA, DVA, and FVA§Provides modeling frameworks for all three, including the very latest developments in FVA and OIS discounting§Covers simple analytic models up through complex multi-asset class Monte Carlo engines, and discusses key credit mitigants, such as netting and CSA agreements which are are essential to moderating counterparty risk§Describes how CVA and FVA sensitivities can be accurately measured--and essential part of any CVA and FVA management strategy§Provides prescriptive discussions of critical issues of technology infrastructure, including grid computing, calculation workflow and data volume management

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