The xVA Challenge - Counterparty Credit Rick, Funding, Collateral and Capital.pdf

The xVA Challenge - Counterparty Credit Rick, Funding, Collateral and Capital

Jon Gregory

Since the global financial credit crisis unfolded in 2007, the importance of counterparty risk and related aspects such as collateral, funding and capital has become of paramount importance. The xVA Challenge offers a practical guide to counterparty risk, funding, collateral and capital aspects in OTC derivative markets. Written by Jon Gregory, one of the leading and influential practitioners in the field, this important resource includes information on the latest academic thinking, regulatory rules and market practice. Thoroughly revised and updated, the third edition contains an updated examination of the emergence of counterparty risk resulting from the global financial crisis and the subse-quent regulations and guidelines developed to reduce counterparty risk, such as new capital charges, the central clearing mandate and bilateral rules for the posting of collateral. The impact of aspects such as IFRS 13 and Basel III are described in detail. Counterparty credit risk and related aspects, such as funding, collateral and capital, char-acterised by the term xVA are key aspects for banks and end-users of OTC derivatives. This vital resource provides practical, in-depth guidance towards all aspects of xVA quantification and management. Gregory examines the various xVA components, including CVA (credit value adjustment), DVA (debt value adjustment), FVA (funding value adjustment), Co1VA (collateral value adjustment) and KVA (capital value adjustment) and their interactions and overlaps. Other aspects, such as wrong-way risks, xVA management and hedg-ing are discussed.

Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros. They will also receive the latest edition of Jon's book "The xVA Challenge: Counterparty Credit Risk, Funding, …

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The xVA Challenge - Counterparty Credit Rick, Funding, Collateral and Capital.pdf

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Notes actuelles

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Sofya Voigtuh

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 Valuation Adjustments: The XVA Challenge

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Mattio Müllers

24 Apr 2018 ... Keywords: Counterparty credit risk estimation, Nested conditional ... Funding Value Adjustment (FVA) and Capital Value Adjustment ... [Google Scholar]) were defined and this collection of value adjustments is now referred to as XVA. ... computational challenge and relatively large standard errors have to ... 23 Jun 2017 ... , Gregory 2015Gregory, J., The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 2015 (Wiley: New York). [Crossref], [ ...

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Noels Schulzen

[Offer PDF] The xVA Challenge: Counterparty Credit …

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Jason Leghmann

Note: If you're looking for a free download links of The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital (The Wiley Finance Series) Pdf, epub, docx and torrent then this site is not for you. Ebookphp.com only do ebook promotions online and we does not …

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Jessica Kolhmann

Jon Gregory is the author of Counterparty Credit Risk (4.04 avg rating, 25 ratings, 0 reviews, published 2010), The xVA Challenge (4.43 avg rating, 23 ra