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

Resource Information

The work The xVA challenge : counterparty credit risk, funding, collateral, and capital represents a distinct intellectual or artistic creation found in European University Institute Library. This resource is a combination of several types including: Work, Language Material, Books.

Label

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

Title remainder

counterparty credit risk, funding, collateral, and capital

Statement of responsibility

Jon Gregory

Creator

• Gregory, Jon, 1971-

Author

• Gregory, Jon, 1971-

Subject

• Derivative securities -- Mathematical models
• Risk management

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

Illustrations

illustrations

Index

index present

Literary form

non fiction

Nature of contents

bibliography

Series statement

The Wiley finance series