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The Resource The xVA challenge : counterparty credit risk, funding, collateral, and capital, Jon Gregory

The xVA challenge : counterparty credit risk, funding, collateral, and capital, Jon Gregory

Label
The xVA challenge : counterparty credit risk, funding, collateral, and capital
Title
The xVA challenge
Title remainder
counterparty credit risk, funding, collateral, and capital
Statement of responsibility
Jon Gregory
Creator
Author
Subject
Language
eng
Summary
"'The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital' is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management."--
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorDate
1971-
http://library.link/vocab/creatorName
Gregory, Jon
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
The Wiley finance series
http://library.link/vocab/subjectName
  • Derivative securities
  • Risk management
Label
The xVA challenge : counterparty credit risk, funding, collateral, and capital, Jon Gregory
Instantiates
Publication
Note
Revised edition of the author's 'Counterparty credit risk and credit value adjustment', 2012
Bibliography note
Includes bibliographical references (pages 447-455) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. The Global Financial Crisis -- 3. The OTC Derivatives Market -- 4. Counterparty Risk -- 5. Netting, Close-out and Related Aspects -- 6. Collateral -- Credit Exposure and Funding -- Capital Requirements and Regulation -- 9. Counterparty Risk Intermediation -- 10. Quantifying Credit Exposure -- 11. Exposure and the Impact of Collateral -- 12. Default Probabilities, Credit Spreads and Funding Costs -- 13. Discounting and Collateral -- 14. Credit and Debt Value Adjustments -- 15. Funding Value Adjustment -- 16. LCH/CME Basis and Capital Value Adjustments -- 17. Wrong-way Risk -- 18. xVA Management -- 19. xVA Optimisation -- 20. The Future
Control code
FIEb17755517
Dimensions
26 cm.
Edition
Third edition.
Extent
xxii, 469 pages
Isbn
9781119109419
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)907183830
Label
The xVA challenge : counterparty credit risk, funding, collateral, and capital, Jon Gregory
Publication
Note
Revised edition of the author's 'Counterparty credit risk and credit value adjustment', 2012
Bibliography note
Includes bibliographical references (pages 447-455) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. The Global Financial Crisis -- 3. The OTC Derivatives Market -- 4. Counterparty Risk -- 5. Netting, Close-out and Related Aspects -- 6. Collateral -- Credit Exposure and Funding -- Capital Requirements and Regulation -- 9. Counterparty Risk Intermediation -- 10. Quantifying Credit Exposure -- 11. Exposure and the Impact of Collateral -- 12. Default Probabilities, Credit Spreads and Funding Costs -- 13. Discounting and Collateral -- 14. Credit and Debt Value Adjustments -- 15. Funding Value Adjustment -- 16. LCH/CME Basis and Capital Value Adjustments -- 17. Wrong-way Risk -- 18. xVA Management -- 19. xVA Optimisation -- 20. The Future
Control code
FIEb17755517
Dimensions
26 cm.
Edition
Third edition.
Extent
xxii, 469 pages
Isbn
9781119109419
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)907183830

Library Locations

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