The xVA challenge : counterparty credit risk, funding, collateral, and capital /

"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, th...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Gregory, Jon, 1971-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester, West Sussex, UK : John Wiley & Sons, 2015.
Edición:Third edition.
Temas:
Derivative securities > Mathematical models.
Risk management.
Instruments dérivés (Finances) > Modèles mathématiques.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Finance.
Derivative securities > Mathematical models
Risk management
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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
  • 4.4 Beyond CVA4.5 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
  • Notes7 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
  • 8.8 Other Important Regulatory Requirements8.9 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
  • 11.2 Margin period of risk11.3 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

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