By Jon Gregory
The xVA problem: Counterparty credits chance, investment, Collateral, and Capital is a pragmatic consultant from one of many prime and such a lot influential credits practitioners, Jon Gregory. concentrating on functional tools, this informative advisor comprises dialogue round the most up-to-date regulatory requisites, marketplace perform, and educational pondering. starting with a glance on the emergence of counterparty chance through the contemporary international monetary quandary, the dialogue delves into the quantification of firm-wide credits publicity and probability mitigation equipment, resembling netting and collateral. It additionally discusses completely the xVA phrases, significantly CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The dialogue of different elements akin to wrong-way hazards, hedging, pressure trying out, and xVA administration inside a bank are lined. The broad assurance and specific therapy of what has turn into an pressing subject makes this booklet a useful reference for any practitioner, coverage maker, or scholar.
Counterparty credits possibility and comparable elements comparable to investment, collateral, and capital became key concerns in recent times, now ordinarily characterised via the time period 'xVA'. This e-book presents useful, in-depth counsel towards all elements of xVA administration.
- Market perform round counterparty credits probability and credits and debit price adjustment (CVA and DVA)
- The newest regulatory advancements together with Basel III capital requisites, significant clearing, and crucial collateral requirements
- The effect of accounting specifications reminiscent of IFRS 13
- Recent considering at the purposes of investment, collateral, and capital changes (FVA, ColVA and KVA)
The surprising awareness of in depth counterparty dangers has significantly compromised the future health of world monetary markets. it is now a massive element of motion for all monetary associations, that have learned the transforming into significance of constant remedy of collateral, investment, and capital along counterparty possibility. The xVA problem: Counterparty credits danger, investment, Collateral, and Capital offers specialist standpoint and real-world counsel for present day institutions.
Read or Download The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital (The Wiley Finance Series) PDF
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