The xVA Challenge: Counterparty Credit Risk, Funding, by Jon Gregory

By Jon Gregory

A specific, expert-driven consultant to modern day significant monetary aspect of interest

The xVA problem: Counterparty credits chance, investment, Collateral, and Capital is a realistic advisor from one of many top and so much influential credits practitioners, Jon Gregory. targeting useful equipment, this informative consultant comprises dialogue round the newest regulatory standards, industry perform, and educational considering. starting with a glance on the emergence of counterparty danger through the fresh worldwide monetary obstacle, the dialogue delves into the quantification of firm-wide credits publicity and probability mitigation tools, comparable to netting and collateral. It additionally discusses completely the xVA phrases, particularly CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The dialogue of alternative elements reminiscent of wrong-way hazards, hedging, tension checking out, and xVA administration inside of a bank are coated. The wide insurance and targeted remedy of what has develop into an pressing subject makes this e-book a useful reference for any practitioner, coverage maker, or pupil.

Counterparty credits danger and similar facets corresponding to investment, collateral, and capital became key matters in recent times, now in general characterised by way of the time period 'xVA'. This e-book presents useful, in-depth information towards all elements of xVA administration.

  • Market perform round counterparty credits chance and credits and debit worth adjustment (CVA and DVA)
  • The newest regulatory advancements together with Basel III capital specifications, crucial clearing, and necessary collateral requirements
  • The effect of accounting requisites resembling IFRS 13
  • Recent pondering at the purposes of investment, collateral, and capital changes (FVA, ColVA and KVA)

The unexpected cognizance of in depth counterparty dangers has significantly compromised the health and wellbeing of world monetary markets. it truly is now a massive element of motion for all monetary associations, that have discovered the transforming into significance of constant therapy of collateral, investment, and capital along counterparty probability. The xVA problem: Counterparty credits possibility, investment, Collateral, and Capital presents specialist point of view and real-world information for brand new institutions.

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