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Xva: Credit, Funding and Capital Valuation Adjustments Hardcover - 2015

Name: Xva: Credit, Funding and Capital Valuation Adjustments
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Author: Andrew Green
ISBN: 9781118556788

by Andrew Green

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From the publisher

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.

From the rear cover

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.

Details

Title Xva: Credit, Funding and Capital Valuation Adjustments
Author Andrew Green
Binding Hardcover
Pages 544
Volumes 1
Language ENG
Publisher Wiley
Date 2015-12-24
Features Bibliography, Maps
ISBN 9781118556788 / 111855678X
Weight 2.35 lbs (1.07 kg)
Dimensions 9.8 x 6.9 x 1.3 in (24.89 x 17.53 x 3.30 cm)
Dewey Decimal Code 658.155

About the author

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.

More Copies for Sale

Xva: Credit, Funding and Capital Valuation Adjustments

by Andrew Green

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Hardcover

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New

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Hardcover

ISBN 13

9781118556788

ISBN 10

111855678x

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Description:

Hardback. New. This new book seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines.