The xVA Challenge

Condition: BRAND NEW ISBN: 9781119508977 Author(s): Jon Gregory Format: Hardcover Language: English Year: 2020 Edition: 4th Publisher: John Wiley & Sons Inc Pages: 704 Series: Wiley Finance

Description: 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 (A?xVAsA?). 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 and academia. Discussing counterparty credit risk in detail, including the many risk mitigants, and how this leads to the different xVA termsExplains why banks have undertaken a dramatic reappraisal of the assumptions they make when pricing, valuing and managing derivativesCovers what the industry generally means by xVA and how it is used by banks, financial institutions and end-users of derivativesExplains all of the underlying regulatory capital (e.g. SA-CCR, SA-CVA) and liquidity requirements (NSFR and LCR) and their impact on xVAUnderscores why banks have realised the significant impact that funding costs, collateral effects and capital charges have on valuationExplains how the evolution of accounting standards to cover CVA, DVA, FVA and potentially other valuation adjustmentsExplains all of the valuation adjustments A? CVA, DVA, FVA, ColVA, MVA and KVA A? in detail and how they fit togetherCovers quantification of xVA terms by discussing modelling and implementation aspects. Taking into account the nature of the underlying market dynamics and new regulatory environment, this book brings readers up to speed on the latest developments