Valuation Adjustments
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Xva
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Author : Andrew Green
language : en
Publisher: John Wiley & Sons
Release Date : 2015-10-08
Xva written by Andrew Green and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-08 with Business & Economics categories.
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 valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry. Explores how XVA models have developed in the aftermath of the credit crisis The only text to focus on the XVA adjustments rather than the broader topic of counterparty risk. Covers regulatory change since the credit crisis including Basel III and the impact regulation has had on the pricing of derivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events, including WBS training, Marcus Evans, ICBI, Infoline and RISK If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge of XVA, this book has you covered.
Valuation In A World Of Cva Dva And Fva A Tutorial On Debt Securities And Interest Rate Derivatives
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Author : Smith Donald J
language : en
Publisher: #N/A
Release Date : 2017-07-20
Valuation In A World Of Cva Dva And Fva A Tutorial On Debt Securities And Interest Rate Derivatives written by Smith Donald J and has been published by #N/A this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-20 with Business & Economics categories.
CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end users of the valuations, for example, accountants, auditors, and analysts. The book, which is essentially a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.
Modeling Direct Investment Valuation Adjustments And Estimating Quarterly Positions
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Author : Jane Ihrig
language : en
Publisher:
Release Date : 2006
Modeling Direct Investment Valuation Adjustments And Estimating Quarterly Positions written by Jane Ihrig and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Investments, Foreign categories.
Innovations In Derivatives Markets
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Author : Kathrin Glau
language : en
Publisher: Springer
Release Date : 2016-12-02
Innovations In Derivatives Markets written by Kathrin Glau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-02 with Mathematics categories.
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
Effective Product Control
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Author : Peter Nash
language : en
Publisher: John Wiley & Sons
Release Date : 2017-09-22
Effective Product Control written by Peter Nash and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-22 with Business & Economics categories.
Improve the Effectiveness of your Product Control Function Effective Product Control is a detailed how-to guide covering everything you need to know about the function. Considered essential reading for: New controllers entering the profession Auditors and regulators reviewing product control Established controllers wanting a refresher on the latest skills and core controls within the industry. Encompassing both a technical skills primer and key insights into core controls used to mitigate major risks emanating from trading desks, you will get expert advice on practical topics such as: The key IFRS and U.S. GAAP accounting standards for a trading desk How to approach the pricing of a financial instrument Market risk and how is it quantified The controls necessary for a trading desk Rogue trading and how it can be detected Valuation adjustments and why they are necessary How the prices used to value a trading portfolio are independently verified The financial accounting entries used to record financial instruments in the balance sheet and profit & loss statement Financial reporting and how the results of a trading desk are presented How a new financial product can be introduced in a controlled manner Complete with a wealth of insightful graphs, illustrations and real-world examples to enliven the covered material, the dependable answers you need are in Effective Product Control.
Collateralization And Funding Valuation Adjustments Fva For Total Return Swaps And Forward Contracts
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Author : Christian P. Fries
language : en
Publisher:
Release Date : 2016
Collateralization And Funding Valuation Adjustments Fva For Total Return Swaps And Forward Contracts written by Christian P. Fries and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
In this paper we consider the valuation of total return swaps (TRS). Since a total return swap is a collateralized derivative referencing the value process of an uncollateralized asset it is in general not possible that both counter parties agree on a unique value. Consequently it is not possible to have cash collateralization of the total return swap matching each counterparts valuation. The total return swap is a collateralized derivative with a natural funding valuation adjustment.We develop a model for valuation and risk management of TRS where we assume that collateral is posted according to the mid average (or convex combination) of the valuations performed by both counterparts. This results in a coupled and recursive system of equations for the valuation of the TRS.The main result of the paper is that we can provide explicit formulas for the collateral and the FVA, eliminating the recursiveness which is naturally encountered in such formulas, by assuming a natural collateralization scheme.Although the paper focuses on total return swaps, the principles developed here are generally applicable in situations where collateralized assets reference uncollaterlized or partially collateralized underlings.
Valuation In A World Of Cva And Dva
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Author : Donald Smith
language : en
Publisher: CreateSpace
Release Date : 2015-08-12
Valuation In A World Of Cva And Dva written by Donald Smith and has been published by CreateSpace this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-12 with categories.
Credit risk models invariably are mathematical, and can be dauntingly so. Nevertheless, an understanding of the impact of credit risk on the valuation of debt securities and derivatives is essential to investment analysis and risk management. The financial crisis that started in 2007 exposed the importance of counterparty credit risk; nowadays, CVA and DVA-credit valuation and debit (or debt) valuation adjustments, respectively-are part of the vocabulary of risk analysis in the "post-Lehman" world. This tutorial introduces the key parameters that drive CVA and DVA (the expected exposure to default loss, the probability of default, and the recovery rate) and demonstrates the impact of changes in credit risk on values of various types of debt securities and interest rate derivatives in a simplified format using diagrams and tables, albeit with some mathematics.
Land Valuation
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Author : James H. Boykin
language : en
Publisher:
Release Date : 2001
Land Valuation written by James H. Boykin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Real property categories.
Credit Valuation Adjustments With Application To Credit Default Swaps
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Author : Cara Milwidsky
language : en
Publisher:
Release Date : 2013
Credit Valuation Adjustments With Application To Credit Default Swaps written by Cara Milwidsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the price of the risk associated with the potential default of the counterparties to the trade. This dissertation provides an introduction to the concept of CVA, beginning with the required backdrop of counterparty risk and the basics of default risk modelling. Right and wrong way risks are central themes of the dissertation. A model for the pricing of both the unilateral and the bilateral CVA on a credit default swap (CDS) is implemented. Each step of this process is explained thoroughly. Results are reported and discussed for a range of parameters. The trends observed in the CDS CVA numbers produced by the model are all justified and the right and wrong way nature of the exposures captured. In addition, the convergence and stability of the numerical schemes utilised are shown to be appropriate. A case study, in which the model is applied to a set of market scenarios, concludes the dissertation. Since the field is far from established, a number of areas are suggested for further research. Copyright.
Innovations In Derivatives Markets
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Author : Kathrin Glau
language : en
Publisher: Springer
Release Date : 2016-12-06
Innovations In Derivatives Markets written by Kathrin Glau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-06 with Mathematics categories.
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.