The xVA Challenge
Counterparty Risk, Funding, Collateral, Capital and Initial Margin
A thoroughly updated and expanded edition of the xVA challenge The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments ('xVAs'). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implications of xVA. The pricing and valuation of the different xVA terms has become a much studied topic and many aspects are in constant debate both in industry an…
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Produktdetails
- ISBN: 978-1-119-50900-4
- EAN: 9781119509004
- Produktnummer: 33833677
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2020
- Seitenangabe: 704 S.
- Plattform: EPUB
- Masse: 18'866 KB
- Auflage: 4. Aufl.
Über den Autor
JON GREGORY, PHD, is an independent expert specialising in counterparty risk and related aspects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and is a faculty member for the Certificate of Quantitative Finance (CQF). Jon has a PhD from Cambridge University.
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