XVA: Credit, Funding and Capital Valuation Adjustments (The Wiley Finance Series)
| Author | : | |
| Rating | : | 4.15 (717 Votes) |
| Asin | : | 111855678X |
| Format Type | : | paperback |
| Number of Pages | : | 536 Pages |
| Publish Date | : | 2015-06-17 |
| Language | : | English |
DESCRIPTION:
Thorough, accessible coverage of the key issues in XVAXVA – Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requ
A decent summary of the state-of-the-art as long as you know the material already. selftaught This book is a decent summary of XVA. As is often the case with finance books, the mathematics are only superficially rigourous. Some symbols are introduced without being defined eg equation 3.9, there are enormous jumps eg. equation 3.11 to 3.12. In all the book feels like a summary of current practice, with the
The practical guidance in this valuable book makes navigating through the complexities of XVA adjustments easier and more rewarding. . XVA: Credit, Funding and Capital Valuation Adjustments provides detailed descriptions of a full range of models to calculate XVA valuation adjustments and provides the latest technical infrastructure needed to calculate XVA efficiently. Then, it connects the dots between the theory, mathematical models and implementation of systems to perform the calculations accurately. From the Inside FlapThe increased regulatory capital require
Andrew previously headed CVA Quantitative Research at Barclays Capital and during his career, has also worked on models for fixed income and equity derivative products as well as ALM. Andrew and his team also work extensively on the implication of regulatory change on derivatives. High performance computing is a central element of XVA model implementation and Andrew