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Könyv XVA - Credit, Funding and Capital Valuation Adjustments Andrew Green

XVA - Credit, Funding and Capital Valuation Adjustments

Szerző: Andrew Green
Nyelv: Angol
Kötés: Kemény kötésű
Kiadó: John Wiley & Sons Inc
Elérhetőség: Beszállítói készleten
Küldés 10-18 napon belül
28 276 Ft
Provides technical coverage of key issues in CVA, DVA, and FVA in an accessible manner for specialis...

Információk a könyvről

Szerző
Andrew Green
Nyelv
Angol
Kötés
Könyv - Kemény kötésű
Kiadva
2015
oldal
536
EAN
9781118556788
ISBN
111855678X
Enbook ID
02099034
Kiadó
John Wiley & Sons Inc
Súly
1058
Méretek
256 x 180 x 35

Teljes leírás

Provides technical coverage of key issues in CVA, DVA, and FVA in an accessible manner for specialists and non-specialist alike§In the wake of the global credit crisis credit valuation adjustment (CVA), debit valuation adjustment (DVA) and funding valuation adjustment (FVA) models have developed rapidly to address changing market conditions and practices. Counterparty and funding risks now lie at the heart of financial markets, with dealers moving quickly to report these risks and establish risk management functions to mitigate then. Written by the head of Quantitative Research- CVA / FVA, Lloyds Banking Group, this book provides an up-to-date, comprehensive treatment of all three, while providing modeling frameworks for them. It also provides in-depth discussions of the information system engineering challenges presented by their calculation and risk management.§Written for specialists and non-specialists alike, it guides you through the complexities of CVA, DVA, and FVA§Provides modeling frameworks for all three, including the very latest developments in FVA and OIS discounting§Covers simple analytic models up through complex multi-asset class Monte Carlo engines, and discusses key credit mitigants, such as netting and CSA agreements which are are essential to moderating counterparty risk§Describes how CVA and FVA sensitivities can be accurately measured--and essential part of any CVA and FVA management strategy§Provides prescriptive discussions of critical issues of technology infrastructure, including grid computing, calculation workflow and data volume management

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