ISBN 13 : 9781119508977

Contents :
Section 1 Basics
1 Introduction
2 Derivatives
3 Counterparty Risk and Beyond
4 Regulation
5 What is xVA?

Section 2 Risk Mitigation
6 Netting, Close-Out, and Related Aspects
7 Margin (Collateral) and Settlement
8 Central Clearing
9 Initial Margin Methodologies
10 The Impact and Risk of Clearing and Margining

Section 3 Building Blocks
11 Future Value and Exposure
12 Credit Spreads, Default Probabilities, and LGDs
13 Regulatory Methodologies
14 Funding, Margin, and Capital Costs
15 Quantifying Exposure

Section 4 The xVAs
16 The Starting Point and Discounting
17 CVA
18 FVA
19 KVA
20 MVA
21 Actively Managing xVA and the Role of an xVA Desk

Glossary
References
Index

Nbre volumes : 0

Language : English

Series : WILEY FINANCE SERIES

Print : 4ème

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque