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
Resource Information
The item The xVA challenge : counterparty credit risk, funding, collateral, and capital, Jon Gregory represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.This item is available to borrow from 1 library branch.
Resource Information
The item The xVA challenge : counterparty credit risk, funding, collateral, and capital, Jon Gregory represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.
This item is available to borrow from 1 library branch.
- 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."--
- Language
- eng
- Edition
- Third edition.
- Extent
- xxii, 469 pages
- Note
- Revised edition of the author's 'Counterparty credit risk and credit value adjustment', 2012
- 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
- Isbn
- 9781119109419
- 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
- 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
- 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
- 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
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/The-xVA-challenge--counterparty-credit-risk/OhxHxGtDVWw/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/The-xVA-challenge--counterparty-credit-risk/OhxHxGtDVWw/">The xVA challenge : counterparty credit risk, funding, collateral, and capital, Jon Gregory</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute Library</a></span></span></span></span></div>
