Screen LibraryThe xVA challenge : counterparty credit risk, funding, collateral, and capital /
"A detailed, expert-driven guide to today's major financial point of interest 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, th...
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| Main Authors: | |
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| Corporate Authors: | |
| Published: |
John Wiley & Sons,
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| Publisher Address: | Chichester, West Sussex, UK : |
| Publication Dates: | 2015. |
| Literature type: | eBook |
| Language: | English |
| Edition: | Third edition. |
| Series: |
The Wiley finance series
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| Subjects: | |
| Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781119109440 |
| Summary: |
"A detailed, expert-driven guide to today's major financial point of interest 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 during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and ri "This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining) and central counterparties. Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjus |
| Item Description: |
Revised edition of the author's Counterparty credit risk and credit value adjustment, 2012. Includes index. |
| Carrier Form: | 1 online resource. |
| ISBN: |
9781119109433 (pdf) 1119109434 (pdf) 9781119109426 (electronic bk.) 1119109426 (electronic bk.) 9781119109440 1119109442 |
| Index Number: | HG6024 |
| CLC: | F830.9 |