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Xva: Credit, Funding and Capital Valuation Adjustments
Andrew Green
€ 82.26
FREE Delivery in Ireland
Description for Xva: Credit, Funding and Capital Valuation Adjustments
Hardcover. This new book seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines. Series: Wiley Finance Series. Num Pages: 536 pages. BIC Classification: KFF; KJMV1. Category: (P) Professional & Vocational. Dimension: 180 x 256 x 35. Weight in Grams: 1066.
Thorough, accessible coverage of the key issues in XVA XVA 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 requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling ... Read more
Thorough, accessible coverage of the key issues in XVA XVA 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 requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling ... Read more
Product Details
Publisher
John Wiley & Sons Inc United States
Number of pages
416
Format
Hardback
Publication date
2015
Series
Wiley Finance Series
Condition
New
Weight
1065g
Number of Pages
536
Place of Publication
New York, United States
ISBN
9781118556788
SKU
V9781118556788
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Andrew Green
ANDREW GREEN heads CVA/FVA Quantitative Research at Lloyds Banking Group. He leads a team of quantitative analysts and developers who are responsible for the design and implementation of models for derivative valuation adjustments. Andrew and his team also work extensively on the implication of regulatory change on derivatives. Andrew previously headed CVA Quantitative Research at Barclays Capital and during his ... Read more
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