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Practical Approach To Xva, A: The Evolution Of Derivatives Valuation After The Financial Crisis
Af: Osamu Tsuchiya Engelsk Hardback
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kr 223
Practical Approach To Xva, A: The Evolution Of Derivatives Valuation After The Financial Crisis
Af: Osamu Tsuchiya Engelsk Hardback

The 2008 financial crisis shook the financial derivatives market to its core, revealing a failure to fully price the cost of doing business then. As a response to this, and to cope with regulatory demands for massively increased capital and other measures with funding cost, the pre-2008 concept of Credit Valuation Adjustment (CVA) has evolved into the far more complex hybrid Cross Valuation Adjustment (XVA).

This book presents a clear and concise framework and provides key considerations for the computation of myriad adjustments to the price of financial derivatives, to fully reflect costs. XVA has been of great interest recently due to heavy funding costs (FVA), initial margin (MVA) and capital requirements (KVA) required to sustain a derivatives business since 2008, in addition to the traditional concepts of cost from counterparty default or credit deterioration (CVA), and its mirror image — the cost of one own's default (DVA).

The book takes a practitioner's perspective on the above concepts, and then provides a framework to implement such adjustments in practice. Models are presented too, taking note of what is computationally feasible in light of portfolios typical of investment banks, and the different instruments associated with these portfolios.

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The 2008 financial crisis shook the financial derivatives market to its core, revealing a failure to fully price the cost of doing business then. As a response to this, and to cope with regulatory demands for massively increased capital and other measures with funding cost, the pre-2008 concept of Credit Valuation Adjustment (CVA) has evolved into the far more complex hybrid Cross Valuation Adjustment (XVA).

This book presents a clear and concise framework and provides key considerations for the computation of myriad adjustments to the price of financial derivatives, to fully reflect costs. XVA has been of great interest recently due to heavy funding costs (FVA), initial margin (MVA) and capital requirements (KVA) required to sustain a derivatives business since 2008, in addition to the traditional concepts of cost from counterparty default or credit deterioration (CVA), and its mirror image — the cost of one own's default (DVA).

The book takes a practitioner's perspective on the above concepts, and then provides a framework to implement such adjustments in practice. Models are presented too, taking note of what is computationally feasible in light of portfolios typical of investment banks, and the different instruments associated with these portfolios.

Produktdetaljer
Sprog: Engelsk
Sider: 340
ISBN-13: 9789813272736
Indbinding: Hardback
Udgave:
ISBN-10: 9813272732
Udg. Dato: 21 maj 2019
Længde: 0mm
Bredde: 0mm
Højde: 0mm
Oplagsdato: 21 maj 2019
Forfatter(e): Osamu Tsuchiya
Forfatter(e) Osamu Tsuchiya


Kategori Investering og værdipapirer


Sprog Engelsk


Indbinding Hardback


Sider 340


Udgave


Længde 0mm


Bredde 0mm


Højde 0mm


Udg. Dato 21 maj 2019


Oplagsdato 21 maj 2019

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