The xVA challenge : counterparty risk, funding, collateral, capital and initial margin /
"In 2007, a so-called credit crisis began. This crisis eventually became more severe and long-lasting than could have ever been anticipated. One result of the "global financial crisis" was a clear realisation that banks needed to be subject to much stricter regulation and conservative...
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| Format: | eBook |
| Language: | English |
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Chichester, West Sussex, United Kingdom :
Wiley,
2020.
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| Edition: | Fourth edition. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Section 1: Basics
- Introduction
- Derivatives
- Counterparty Risk and Beyond
- Regulation
- What is xVA?
- Section 2: Risk Mitigation
- Netting, Close-Out, and Related Aspects
- Margin (Collateral) and Settlement
- Central Clearing
- Initial Margin Methodologies
- The Impact and Risk of Clearing and Margining
- Section 3: Building Blocks
- Future Value and Exposure
- Credit Spreads, Default Probabilities, and LGDs
- Regulatory Methodologies
- Funding, Margin, and Capital Costs
- Quantifying Exposure
- Section 4: The xVAs
- The Starting Point and Discounting
- CVA
- FVA
- KVA
- MVA
- Actively Managing xVA and the Role of an xVA Desk.