XVA (eBook)

Credit, Funding and Capital Valuation Adjustments

Andrew Green (Autor)

eBook Download: EPUB

2015 | 1. Auflage
536 Seiten
John Wiley & Sons (Verlag)
978-1-118-55676-4 (ISBN)

Infos

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.

Autor

ANDREW GREEN heads CVA/FVA Quantitative Research at Lloyds Banking Group. He leads a team of quantitative analysts and developers who are responsible for the design and implementation of models for derivative valuation adjustments. Andrew and his team also work extensively on the implication of regulatory change on derivatives. Andrew previously headed CVA Quantitative Research at Barclays Capital and during his career, has also worked on models for fixed income and equity derivative products as well as ALM. High performance computing is a central element of XVA model implementation and Andrew has extensive experience of the practical implementation of large scale Monte Carlo simulation models in IT systems. Andrew is a regular conference speaker and has co-authored a number of papers on various topics in XVA. He has a DPhil in Theoretical Physics and a BA in Physics from Oxford University, and Part III of the Mathematics Tripos from Cambridge University.

Produkt-Details

• Erscheint lt. Verlag: 8.10.2015
• Reihe/Serie: Wiley Finance Series
• Reihe/Serie: Wiley Finance Series
• Sprache: englisch
• Themenwelt: Recht / Steuern ► EU / Internationales Recht
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht ► Bank- und Kapitalmarktrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Finanzwesen
• ISBN-10: 1-118-55676-3 / 1118556763
• ISBN-13: 978-1-118-55676-4 / 9781118556764