XVA: credit, funding and capital valuation adjustments
"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 an...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester, West Sussex
Wiley
2016
|
| Schriftenreihe: | The wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Cover image Inhaltsverzeichnis |
| Zusammenfassung: | "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"... |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | xxv, 510 Seiten Illustrationen, Diagramme |
| ISBN: | 9781118556788 9781118556757 9781118556764 9781119161233 |
Internformat
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| 490 | 0 | |a The wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
| 520 | |a "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"... | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a BUSINESS & ECONOMICS / Finance | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |a Green, Andrew, 1971-: XVA; Hoboken : Wiley, 2015 |
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| 856 | 4 | 2 | |m LoC Fremddatenuebernahme |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029309525&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
| _version_ | 1804176803683631104 |
|---|---|
| adam_text | XVA
/ / / / / / / / GREEN, ANDREWYYD1971-
: : : : : : : : 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
^^ - TREASURY AND PORTFOLIO MANAGEMENT 464 22.4 ACTIVE XVA MANAGEMENT
467 22.5 PASSIVE XVA MANAGEMENT 473 22.6 INTERNAL CHARGING FOR XVA 473
22.7 MANAGING DEFAULT AND DISTRESS 475 VI THE FUTURE 477 23 THE FUTURE
OF DERIVATIVES? 479 23.1 REFLECTING ON THE YEARS OF CHANGE 479 23.2 THE
MARKET IN THE FUTURE 479
DIESES SCHRIFTSTCK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Green, Andrew |
| author_GND | (DE-588)1079502505 |
| author_facet | Green, Andrew |
| author_role | aut |
| author_sort | Green, Andrew |
| author_variant | a g ag |
| building | Verbundindex |
| bvnumber | BV043900265 |
| callnumber-first | H - Social Science |
| callnumber-label | HG173 |
| callnumber-raw | HG173 |
| callnumber-search | HG173 |
| callnumber-sort | HG 3173 |
| callnumber-subject | HG - Finance |
| ctrlnum | (OCoLC)927554079 (DE-599)BVBBV043900265 |
| dewey-full | 332.64/57 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 |
| dewey-search | 332.64/57 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV043900265 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:37:59Z |
| institution | BVB |
| isbn | 9781118556788 9781118556757 9781118556764 9781119161233 |
| language | English |
| lccn | 015019353 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029309525 |
| oclc_num | 927554079 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM |
| owner_facet | DE-19 DE-BY-UBM |
| physical | xxv, 510 Seiten Illustrationen, Diagramme |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Wiley |
| record_format | marc |
| series2 | The wiley finance series |
| spelling | Green, Andrew Verfasser (DE-588)1079502505 aut XVA credit, funding and capital valuation adjustments Andrew Green Chichester, West Sussex Wiley 2016 xxv, 510 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier The wiley finance series Includes bibliographical references and index "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"... BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Finance Derivative securities BUSINESS & ECONOMICS / Finance Erscheint auch als Online-Ausgabe Green, Andrew, 1971-: XVA; Hoboken : Wiley, 2015 http://catalogimages.wiley.com/images/db/jimages/9781118556788.jpg Cover image LoC Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029309525&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Green, Andrew XVA credit, funding and capital valuation adjustments BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Finance Derivative securities BUSINESS & ECONOMICS / Finance |
| title | XVA credit, funding and capital valuation adjustments |
| title_auth | XVA credit, funding and capital valuation adjustments |
| title_exact_search | XVA credit, funding and capital valuation adjustments |
| title_full | XVA credit, funding and capital valuation adjustments Andrew Green |
| title_fullStr | XVA credit, funding and capital valuation adjustments Andrew Green |
| title_full_unstemmed | XVA credit, funding and capital valuation adjustments Andrew Green |
| title_short | XVA |
| title_sort | xva credit funding and capital valuation adjustments |
| title_sub | credit, funding and capital valuation adjustments |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Finance Derivative securities BUSINESS & ECONOMICS / Finance |
| topic_facet | BUSINESS & ECONOMICS / Finance Wirtschaft Finance Derivative securities |
| url | http://catalogimages.wiley.com/images/db/jimages/9781118556788.jpg http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029309525&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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