LEADER 08998nam 2200745 450 001 9910797673803321 005 20200520144314.0 010 $a1-119-10942-6 010 $a1-119-10944-2 010 $a1-119-10943-4 035 $a(CKB)3710000000478599 035 $a(EBL)4043028 035 $a(SSID)ssj0001553163 035 $a(PQKBManifestationID)16171700 035 $a(PQKBTitleCode)TC0001553163 035 $a(PQKBWorkID)12994281 035 $a(PQKB)11766922 035 $a(MiAaPQ)EBC4043028 035 $a(DLC) 2015030460 035 $a(Au-PeEL)EBL4043028 035 $a(CaPaEBR)ebr11115200 035 $a(CaONFJC)MIL833083 035 $a(OCoLC)915775214 035 $a(MiAaPQ)EBC7147565 035 $a(Au-PeEL)EBL7147565 035 $a(EXLCZ)993710000000478599 100 $a20151105h20152015 uy 0 101 0 $aeng 135 $aur||||||||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe xVA challenge $ecounterparty credit risk, funding, collateral, and capital /$fJon Gregory 205 $aThird edition. 210 1$aChichester, England :$cWiley,$d2015. 210 4$d©2015 215 $a1 online resource (551 p.) 225 1 $aWiley Finance Series 300 $aRevised edition of the author's Counterparty credit risk and credit value adjustment, 2012. 300 $aIncludes index. 311 $a1-119-10941-8 320 $aIncludes bibliographical references and index. 327 $a""Series""; ""Title page""; ""Copyright""; ""Dedication""; ""Lists of Spreadsheets""; ""Lists of Appendices""; ""Acknowledgements""; ""About the Author""; ""1 Introduction""; ""2 The Global Financial Crisis""; ""2.1 Pre-crisis""; ""2.2 The crisis""; ""2.3 Regulatory reform""; ""2.4 Backlash and criticisms""; ""2.5 A new world""; ""Notes""; ""3 The OTC Derivatives Market""; ""3.1 The derivatives market""; ""3.2 Derivative risks""; ""3.3 Risk management of derivatives""; ""Notes""; ""4 Counterparty Risk""; ""4.1 Background""; ""4.2 Components""; ""4.3 Control and quantification"" 327 $a""4.4 Beyond CVA""""4.5 Summary""; ""Notes""; ""5 Netting, Close-out and Related Aspects""; ""5.1 Introduction""; ""5.2 Default, netting and close-out""; ""5.3 Multilateral netting and trade compression""; ""5.4 Termination features and resets""; ""5.5 Summary""; ""Notes""; ""6 Collateral""; ""6.1 Introduction""; ""6.2 Collateral terms""; ""6.3 Mechanics of collateral""; ""6.4 Collateral and funding""; ""6.5 Collateral usage""; ""6.6 The risks of collateral""; ""6.7 Regulatory collateral requirements""; ""6.8 Converting counterparty risk into funding liquidity risk""; ""6.9 Summary"" 327 $a""Notes""""7 Credit Exposure and Funding""; ""7.1 Credit exposure""; ""7.2 Metrics for exposure""; ""7.3 Factors driving exposure""; ""7.4 The impact of netting and collateral on exposure""; ""7.5 Funding, rehypothecation and segregation""; ""7.6 Summary""; ""Notes""; ""8 Capital Requirements and Regulation""; ""8.1 Background to Credit Risk Capital""; ""8.2 Current Exposure Method (CEM)""; ""8.3 The Internal Model Method (IMM)""; ""8.4 Standardised Approach for Counterparty Credit Risk (SA-CCR)""; ""8.5 Comparison of EAD Methods""; ""8.6 Basel III""; ""8.7 CVA Capital Charge"" 327 $a""8.8 Other Important Regulatory Requirements""""8.9 Summary""; ""Notes""; ""9 Counterparty Risk Intermediation""; ""9.1 Introduction""; ""9.2 SPVs, DPCs, CDPCs and monolines""; ""9.3 Central counterparties""; ""9.4 Summary""; ""Notes""; ""10 Quantifying Credit Exposure""; ""10.1 Introduction""; ""10.2 Methods for quantifying credit exposure""; ""10.3 Monte Carlo methodology""; ""10.4 Real-world or risk-neutral""; ""10.5 Model choice""; ""10.6 Examples""; ""10.7 Allocating exposure""; ""10.8 Summary""; ""Notes""; ""11 Exposure and the Impact of Collateral""; ""11.1 Overview"" 327 $a""11.2 Margin period of risk""""11.3 Numerical examples""; ""11.4 Initial margin""; ""11.5 Summary""; ""Notes""; ""12 Default Probabilities, Credit Spreads and Funding Costs""; ""12.1 Overview""; ""12.2 Default probability""; ""12.3 Credit curve mapping""; ""12.4 Generic curve construction""; ""12.5 Funding curves and capital costs""; ""12.6 Summary""; ""Notes""; ""13 Discounting and Collateral""; ""13.1 Overview""; ""13.2 Discounting""; ""13.3 Beyond perfect collateralisation""; ""13.4 Collateral valuation adjustments""; ""13.5 Summary""; ""Notes""; ""14 Credit and Debt Value Adjustments"" 327 $a""14.1 Overview"" 330 $a"A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management. Market practice around counterparty credit risk and credit and debit value adjustment (CVA and DVA) The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirements The impact of accounting requirements such as IFRS 13 Recent thinking on the applications of funding, collateral, and capital adjustments (FVA, ColVA and KVA) The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of collateral, funding, and capital alongside counterparty risk. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital provides expert perspective and real-world guidance for today's institutions"--$cProvided by publisher. 330 $a"This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining) and central counterparties. Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) and funding costs (FVA) are also considered at length. Portfolio management and hedging of CVA are described in full. Wrong--way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and credit derivative products. Regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is discussed. The management of counterparty risk within an institution by a "CVA desk" is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner, policy maker, academic or student with any responsibility or interest within the area of counterparty credit risk and CVA"--$cProvided by publisher. 410 0$aWiley finance series. 606 $aDerivative securities$xMathematical models 606 $aRisk management 615 0$aDerivative securities$xMathematical models. 615 0$aRisk management. 676 $a332.64/57 686 $aBUS027000$2bisacsh 700 $aGregory$b Jon$f1971-$0926952 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910797673803321 996 $aThe xVA challenge$92082503 997 $aUNINA LEADER 01663nas 2200385 n 450 001 990008984470403321 005 20250609110040.0 035 $a000898447 035 $aFED01000898447 035 $a(Aleph)000898447FED01 035 $a000898447 091 $2CNR$aP 00019005 100 $a20090724b19301946km-y0itaa50------ba 101 0 $aita 110 $aauu-------- 200 1 $aJapigia$erivista pugliese di archeologia, storia e arte 207 1$a1930-1946 210 $aBari$c[s.n.] 430 0$12001$aArchivio storico pugliese 447 0$1001000890942$12001$aArchivio storico pugliese [1948] 530 0 $aJapigia 675 $a7 675 $a930.26 675 $a93 712 02$aDeputazione di Storia Patria per la Puglia 801 0$aIT$bACNP$c20090723 859 4 $uhttp://acnp.cib.unibo.it/cgi-ser/start/it/cnr/dc-p1.tcl?catno=11325&person=false&language=ITALIANO&libr=&libr_th=unina1$zBiblioteche che possiedono il periodico 901 $aSE 912 $a990008984470403321 958 $aNucleo Bibliotecario di Geografia.Facoltà di Lettere e Filosofia.Università degli Studi di Napoli Federico II$b1930-1946.$eN-02-004$fILFGE 959 $aILFGE 996 $aJapigia$9793427 997 $aUNINA AP1 8 $6866-01$aNA239 Nucleo Bibliotecario di Geografia.Facoltà di Lettere e Filosofia.Università degli Studi di Napoli Federico II$bPer It 027 bis$evia Rodinò 22/Largo S. Marcellino 10, 80138 Napoli (NA)$m0812538238$nit AP2 40$aacnp.cib.unibo.it$nACNP Italian Union Catalogue of Serials$uhttp://acnp.cib.unibo.it/cgi-ser/start/it/cnr/df-p.tcl?catno=11325&language=ITALIANO&libr=&person=&B=1&libr_th=unina&proposto=NO