Replication Valuation Impact
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Replication Valuation Impact
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Author : John M. Kelley
language : en
Publisher:
Release Date : 1978
Replication Valuation Impact written by John M. Kelley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Occupational training categories.
Valuation Adjustments
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Author : Pernille Duus
language : en
Publisher:
Release Date : 2015
Valuation Adjustments written by Pernille Duus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Replication In Experimental Economics
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Author :
language : en
Publisher: Emerald Group Publishing
Release Date : 2015-10-20
Replication In Experimental Economics written by and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-20 with Business & Economics categories.
This volume highlights the importance of replicating previous economic experiments for understanding the robustness and generalizability of behavior. Readers will gain a better understanding of the role that replication plays in scientific discovery as well as valuable insights into the robustness of previously reported findings.
Applications Of The Replication Method For Xvas
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Author : Sebastien Gurrieri
language : en
Publisher:
Release Date : 2018
Applications Of The Replication Method For Xvas written by Sebastien Gurrieri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Following in using zero-cost trade-able hedge instruments, we show that many forms of the valuation equations for PV and XVAs presented in the literature can be seen as particular cases of a more generic Replication framework. The convenient split between the effects of hedging our own default risk and funding obtained from the assumption of hedging with repo-able bonds allows for a systematic classification of the valuation equations according to their funding strategies. We describe strategies justifying for instance asymmetric funding in linear valuation by using three funding bonds. The Funding Invariance principle (Elouerkhaoui, 2016) i.e. the invariance against the choice of risk-free rate, is seen as a natural consequence of the Replication applied to the total risky derivative and is valid for all valuations derived from it. GVA, the adjustment when PV is discounted differently from the close-out amount, is crucial for the Funding Invariance to hold and allows a company to choose its PV discount rate with flexibility. Other applications of the Replication method include avoidance of double-counting and emergence of DVA2 and its counterpart CVA2.
Replication Xva
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Author : Alexandre Antonov
language : en
Publisher:
Release Date : 2014
Replication Xva written by Alexandre Antonov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In the large context of valuation adjustments, collectively referred to as “XVA”, we treat replication strategies as a unique way to calculate fair price equations. We consider different replication strategies (Piterbarg, Burgard-Kjaer and our contribution) and identify the valuation adjustments for the different pricing equations. We reduce a (large) list of pricing PDE's to two main cases and calculate the XVAs for each case. We also consider the funding cost counting issue raised by Hull and White and treat it mathematically. This issue relates to the fact that any funding cost adjustment associated with unsecured funding should, in theory, be offset by a corresponding debit valuation adjustment. The framework is generalized to allow for stochastic hazard rates, as has been treated by others, and we also consider the case where collateralized vanilla derivatives are used as hedging instruments, demonstrating that there is no impact upon pricing outcomes. The special case of a “back-to-back” hedge with another institution is examined, and it is seen that the funding valuation adjustment is driven by differences between the CSA with the trade counterparty and the CSA with the hedge counterparty. We also provide numerical results for an interest rate swap and a related Bermudan swaption.
Understanding And Using Q Replication For High Availability Solutions On The Ibm Z Os Platform
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Author : Cecile Madsen
language : en
Publisher: IBM Redbooks
Release Date : 2014-02-11
Understanding And Using Q Replication For High Availability Solutions On The Ibm Z Os Platform written by Cecile Madsen and has been published by IBM Redbooks this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-11 with Computers categories.
With ever-increasing workloads on production systems from transaction, batch, online query and reporting applications, the challenges of high availability and workload balancing are more important than ever. This IBM® Redbooks® publication provides descriptions and scenarios for high availability solutions using the Q Replication technology of the IBM InfoSphere® Data Replication product on the IBM z/OS® platform. Also included are key considerations for designing, implementing, and managing solutions for the typical business scenarios that rely on Q Replication for their high availability solution. This publication also includes sections on latency analysis, managing Q Replication in the IBM DB2® for z/OS environment, and recovery procedures. These are topics of particular interest to clients who implement the Q Replication solution on the z/OS platform. Q Replication is a high-volume, low-latency replication solution that uses IBM WebSphere® MQ message queues to replicate transactions between source and target databases or subsystems. A major business benefit of the low latency and high throughput solution is timely availability of the data where the data is needed. High availability solutions are implemented to minimize the impact of planned and unplanned disruptions of service to the applications. Disruption of service can be caused by software maintenance and upgrades or by software and hardware outages. As applications' high availability requirements evolve towards continuous availability, that is availability of the data 24 hours a day and 7 days a week, so does the Q Replication solution, to meet these challenges. If you are interested in the Q Replication solution and how it can be used to implement some of the high availability requirements of your business scenarios, this book is for you.
Company Valuation As Result Of Risk Analysis
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Author : Werner Gleißner
language : en
Publisher:
Release Date : 2019
Company Valuation As Result Of Risk Analysis written by Werner Gleißner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Market imperfections call into question the suitability of the CAPM for deriving the cost of capital. The valuation by incomplete replication introduces a valuation concept that takes capital market imperfections into account and derives the risk-adjusted cost of capital (or risk discounts) on the basis of corporate or investment planning and risk analysis. The risk measure is derived consistently (using risk analysis and Monte Carlo simulation) from the cash flows to be valued, that is, the earning risk. Historical stock returns of the valuation object are therefore not necessary. It can be shown that the valuation result of the CAPM can be derived using the approach of imperfect replication as a special case for perfect capital markets.
The Value Of Active Active Sites With Q Replication For Ibm Db2 For Z Os An Innovative Ibm Client S Experience
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Author : Serge Bourbonnais
language : en
Publisher: IBM Redbooks
Release Date : 2015-01-23
The Value Of Active Active Sites With Q Replication For Ibm Db2 For Z Os An Innovative Ibm Client S Experience written by Serge Bourbonnais and has been published by IBM Redbooks this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-23 with Computers categories.
Any business interruption is a potential loss of revenue. Achieving business continuity involves a tradeoff between the cost of an outage or data loss with the investment required for achieving the recovery point objective (RPO) and recovery time objective (RTO). Continuous system availability requires scalability, as well as failover capability for maintenance, outages, and disasters. It also requires a shift from standby to active-active systems. Active-active sites are geographically distant transaction processing centers, each with the infrastructure to run business operations and with data synchronized by using database replication, such as the Q Replication technology that is part of IBM® InfoSphere® Data Replication software. This IBM Redbooks® publication describes preferred practices and introduces an architecture for continuous availability and disaster recovery that is used by a very large business institution that runs its core business on IBM DB2® for z/OS® databases. This paper explains the technologies and procedures that are required for the implementation of an active-active sites architecture. It also explains an innovative procedure for major IT upgrades that uses Q Replication for DB2 on z/OS, Multi-site Workload Lifeline, and Peer-to-Peer Remote Copy/Extended Distance (PPRC-XD). This paper is of value to decision makers, such as executive and IT architects, and to database administrators who are responsible for design and implementation of the solution.
Mva
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Author : Andrew David Green
language : en
Publisher:
Release Date : 2015
Mva written by Andrew David Green and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Initial margin requirements are becoming an increasingly common feature of derivative markets. However, while the valuation of derivatives under collateralisation (Piterbarg, 2010, 2012a), under counterparty risk with unsecured funding costs (FVA) (Burgard and Kjaer, 2011a, 2011b, 2013) and in the presence of regulatory capital (KVA) (Green, Kenyon and Dennis, 2014) are established through valuation adjustments, hitherto initial margin has not been considered. This paper further extends the semi-replication framework of Burgard and Kjaer (2013), itself later extended by Green, Kenyon and Dennis (2014), to cover the cost of initial margin, leading to Margin Valuation Adjustment (MVA). Initial margin requirements are typically generated through the use of VAR or CVAR models. Given the form of MVA as an integral over the expected initial margin profile this would lead to excessive computational costs if a brute force calculation were to be used. Hence we also propose a computationally efficient approach to the calculation of MVA through the use of regression techniques, Longstaff-Schwartz Augmented Compression (LSAC).
Replication Of The Value Template Process In A Community Coalition
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Author : Cathleen Rickie Orr Brawer
language : en
Publisher:
Release Date : 2007
Replication Of The Value Template Process In A Community Coalition written by Cathleen Rickie Orr Brawer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Coalitions categories.