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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Green, Anew
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, N.J. : Wiley, 2013.
Temas:
Business.
Affaires.
business (commercial function)
BUSINESS & ECONOMICS > Finance.
Business
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Series
  • Title page
  • Copyright
  • Dedication
  • Acknowledgements
  • CHAPTER 1 Introduction: The Valuation of Derivative Portfolios
  • 1.1 What this book is about
  • 1.2 Prices and Values
  • 1.3 Trade Economics in Derivative Pricing
  • 1.4 Post-Crisis Derivative Valuation or How I Learned to Stop Worrying and Love FVA
  • 1.5 Reading this Book
  • Notes
  • PART ONE CVA and DVA: Counterparty Credit Risk and Credit Valuation Adjustment
  • CHAPTER 2 Introducing Counterparty Risk
  • 2.1 Defining Counterparty Risk
  • 2.2 CVA and DVA: Credit Valuation Adjustment and Debit Valuation Adjustment Defined2.3 The Default Process
  • 2.4 Credit Risk Mitigants
  • Notes
  • CHAPTER 3 CVA and DVA: Credit and Debit Valuation Adjustment Models
  • 3.1 Introduction
  • 3.2 Unilateral CVA Model
  • 3.3 Bilateral CVA Model: CVA and DVA
  • 3.4 Modelling Dependence between Counterparties
  • 3.5 Components of a CVA Calculation Engine
  • 3.6 Counterparty Level CVA vs. Trade Level CVA
  • 3.7 Recovery Rate/Loss-Given-Default Assumptions
  • Notes
  • CHAPTER 4 CDS and Default Probabilities
  • 4.1 Survival Probabilities and CVA4.2 Historical versus Implied Survival Probabilities
  • 4.3 Credit Default Swap Valuation
  • 4.4 Bootstrapping the Survival Probability Function
  • 4.5 CDS and Capital Relief
  • 4.6 Liquid and Illiquid Counterparties
  • Notes
  • CHAPTER 5 Analytic Models for CVA and DVA
  • 5.1 Analytic CVA Formulae
  • 5.2 Interest Rate Swaps
  • 5.3 Options: Interest Rate Caplets and Floorlets
  • 5.4 FX Forwards
  • CHAPTER 6 Modelling Credit Mitigants
  • 6.1 Credit Mitigants
  • 6.2 Close-out Netting
  • 6.3 Break Clauses
  • 6.4 Variation Margin and CSA Agreements6.5 Non-financial Security and the Default Waterfall
  • Notes
  • CHAPTER 7 Wrong-way and Right-way Risk for CVA
  • 7.1 Introduction: Wrong-way and Right-way Risks
  • 7.2 Distributional Models of Wrong-way/ Right-way Risk
  • 7.3 A Generalised Discrete Approach to Wrong-Way Risk
  • 7.4 Stochastic Credit Models of Wrong-way/Right-way Risk
  • 7.5 Wrong-way/Right-way Risk and DVA
  • Notes
  • PART TWO FVA: Funding Valuation Adjustment
  • CHAPTER 8 The Discount Curve
  • 8.1 Introduction
  • 8.2 A Single Curve World
  • 8.3 Curve Interpolation and Smooth Curves8.4 Cross-currency Basis
  • 8.5 Multi-curve and Tenor Basis
  • 8.6 OIS and CSA Discounting
  • 8.7 Conclusions: Discounting
  • Notes
  • CHAPTER 9 Funding Costs: Funding Valuation Adjustment (FVA)
  • 9.1 Explaining Funding Costs
  • 9.2 First Generation FVA: Discount Models
  • 9.3 Double Counting and DVA
  • 9.4 Second Generation FVA: Exposure Models
  • 9.5 Residual FVA and CSAs
  • 9.6 Asymmetry
  • 9.7 Risk Neutrality, Capital and the Modigliani-Miller Theorem
  • 9.8 Wrong-way/Right-way Risk and FVA
  • Notes

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