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Cva - credit and funding valuation adjustment /
This newbook seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset cla...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley,
2013.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This newbook seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines. Credit mitigants such as netting and CSA agreements are essential to moderating counterparty risk and hence need to be correctly included in CVA calculations and the book describes how this can be done. Wrong-way and right-way risks remain critical issues, and the latest models that encompass these factors are discussed. The book describes how CVA and FVA sensitivities can be accurately measured, an essential part of any CVA and FVA management strategy. The technological challenge presented by CVA and FVA is immense with CVA and FVA calculations are amongst the most computationally demanding in finance today. It is vitally important then that the technology infrastructure, including grid computing, calculation workflow and management of data volumes be considered alongside model development and this is considered in depth. This is equally important for both model builders and those adopting third party software solutions. Finally the regulatory framework introduced under Basel III includes CVA capital presenting massive implications for the finance industry and these are described in full. |
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| Notas: | Title from resource description page (Recorded Books, viewed November 21, 2013). |
| Descripción Física: | 1 online resource |
| ISBN: | 9781118556764 1118556763 |