XVA: Credit, Funding and Capital Valuation Adjustments (The Wiley Finance Series)

Amazon.com Price: $62.86 (as of 11/10/2019 16:41 PST- Details)

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Description

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 remedy of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks in addition to 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 affect 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 the usage of Monte Carlo techniques is also central to the book. You’ll be able to also find thorough coverage of how XVA sensitivities may also be as it should be measured, the technological challenges presented by XVA, using 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 relatively than the broader topic of counterparty risk.
  • Covers regulatory change since the credit crisis including Basel III and the affect regulation has had on the pricing of derivatives. 
  • Covers the very latest valuation adjustments, KVA and MVA.
  • The creator 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.

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