The xVA challenge : counterparty risk, funding, collateral, capital and initial margin /: counterparty risk, funding, collateral, capital and initial margin. (2020)
- Record Type:
- Book
- Title:
- The xVA challenge : counterparty risk, funding, collateral, capital and initial margin /: counterparty risk, funding, collateral, capital and initial margin. (2020)
- Main Title:
- The xVA challenge : counterparty risk, funding, collateral, capital and initial margin
- Uniform Title:
- Counterparty credit risk and credit value adjustment
- Further Information:
- Note: Jon Gregory.
- Authors:
- Gregory, Jon, 1971-
- Contents:
- Intro -- Table of Contents -- List of Spreadsheets -- List of Appendices -- Acknowledgements -- About the Author -- Section 1: Basics -- 1 Introduction -- 2 Derivatives -- 2.1 INTRODUCTION -- 2.2 THE DERIVATIVES MARKET -- 2.3 DERIVATIVE RISKS -- 2.4 SYSTEMIC RISK OF DERIVATIVES -- 2.5 THE GLOBAL FINANCIAL CRISIS AND CENTRAL CLEARING OF OTC DERIVATIVES -- 2.6 DERIVATIVES RISK MODELLING -- NOTES -- 3 Counterparty Risk and Beyond -- 3.1 COUNTERPARTY RISK -- 3.2 BEYOND COUNTERPARTY RISK -- 3.3 COMPONENTS OF XVA -- NOTES -- 4 Regulation -- 4.1 REGULATION AND THE GLOBAL FINANCIAL CRISIS 4.2 CAPITAL REQUIREMENTS -- 4.3 LIQUIDITY -- 4.4 CLEARING AND MARGINING -- NOTES -- 5 What is xVA? -- 5.1 OVERVIEW -- 5.2 ANALYSIS OF XVA -- 5.3 VALUATION -- 5.4 PRICING -- NOTES -- Section 2: Risk Mitigation -- 6 Netting, Close-Out, and Related Aspects -- 6.1 OVERVIEW -- 6.2 CASH FLOW NETTING -- 6.3 VALUE NETTING -- 6.4 THE IMPACT OF NETTING -- NOTES -- 7 Margin (Collateral) and Settlement -- 7.1 TERMINATION AND RESET FEATURES -- 7.2 BASICS OF MARGIN/COLLATERAL -- 7.3 MARGIN TERMS -- 7.4 BILATERAL MARGIN REQUIREMENTS -- 7.5 IMPACT OF MARGIN -- 7.6 MARGIN AND FUNDING -- NOTES 8 Central Clearing -- 8.1 EVOLUTION OF CENTRAL CLEARING -- 8.2 MECHANICS OF CENTRAL CLEARING -- 8.3 CCP RISK MANAGEMENT -- 8.4 INITIAL MARGIN AND DEFAULT FUNDS -- 8.5 IMPACT OF CENTRAL CLEARING -- NOTES -- 9 Initial Margin Methodologies -- 9.1 ROLE OF INITIAL MARGIN -- 9.2 INITIAL MARGIN APPROACHES -- 9.3 HISTORICAL SIMULATIONIntro -- Table of Contents -- List of Spreadsheets -- List of Appendices -- Acknowledgements -- About the Author -- Section 1: Basics -- 1 Introduction -- 2 Derivatives -- 2.1 INTRODUCTION -- 2.2 THE DERIVATIVES MARKET -- 2.3 DERIVATIVE RISKS -- 2.4 SYSTEMIC RISK OF DERIVATIVES -- 2.5 THE GLOBAL FINANCIAL CRISIS AND CENTRAL CLEARING OF OTC DERIVATIVES -- 2.6 DERIVATIVES RISK MODELLING -- NOTES -- 3 Counterparty Risk and Beyond -- 3.1 COUNTERPARTY RISK -- 3.2 BEYOND COUNTERPARTY RISK -- 3.3 COMPONENTS OF XVA -- NOTES -- 4 Regulation -- 4.1 REGULATION AND THE GLOBAL FINANCIAL CRISIS 4.2 CAPITAL REQUIREMENTS -- 4.3 LIQUIDITY -- 4.4 CLEARING AND MARGINING -- NOTES -- 5 What is xVA? -- 5.1 OVERVIEW -- 5.2 ANALYSIS OF XVA -- 5.3 VALUATION -- 5.4 PRICING -- NOTES -- Section 2: Risk Mitigation -- 6 Netting, Close-Out, and Related Aspects -- 6.1 OVERVIEW -- 6.2 CASH FLOW NETTING -- 6.3 VALUE NETTING -- 6.4 THE IMPACT OF NETTING -- NOTES -- 7 Margin (Collateral) and Settlement -- 7.1 TERMINATION AND RESET FEATURES -- 7.2 BASICS OF MARGIN/COLLATERAL -- 7.3 MARGIN TERMS -- 7.4 BILATERAL MARGIN REQUIREMENTS -- 7.5 IMPACT OF MARGIN -- 7.6 MARGIN AND FUNDING -- NOTES 8 Central Clearing -- 8.1 EVOLUTION OF CENTRAL CLEARING -- 8.2 MECHANICS OF CENTRAL CLEARING -- 8.3 CCP RISK MANAGEMENT -- 8.4 INITIAL MARGIN AND DEFAULT FUNDS -- 8.5 IMPACT OF CENTRAL CLEARING -- NOTES -- 9 Initial Margin Methodologies -- 9.1 ROLE OF INITIAL MARGIN -- 9.2 INITIAL MARGIN APPROACHES -- 9.3 HISTORICAL SIMULATION -- 9.4 BILATERAL MARGIN AND SIMM -- NOTES -- 10 The Impact and Risk of Clearing and Margining -- 10.1 RISKS OF CENTRAL CLEARING -- 10.2 ANALYSIS OF A CCP LOSS STRUCTURE -- 10.3 IMPACT OF MARGIN -- NOTES -- Section 3: Building Blocks -- 11 Future Value and Exposure 11.1 CREDIT EXPOSURE -- 11.2 DRIVERS OF EXPOSURE -- 11.3 AGGREGATION, PORTFOLIO EFFECTS, AND THE IMPACT OF COLLATERALISATION -- 11.4 FUNDING, REHYPOTHECATION, AND SEGREGATION -- NOTES -- 12 Credit Spreads, Default Probabilities, and LGDs -- 12.1 DEFAULT PROBABILITY -- 12.2 CREDIT CURVE MAPPING -- 12.3 GENERIC CURVE CONSTRUCTION -- NOTES -- 13 Regulatory Methodologies -- 13.1 OVERVIEW -- 13.2 CREDIT RISK (DEFAULT RISK) CAPITAL -- 13.2 CVA (MARKET RISK) CAPITAL -- 13.4 EXPOSURE CALCULATION METHODOLOGIES -- 13.5 EXAMPLES -- 13.6 CENTRAL COUNTERPARTY CAPITAL REQUIREMENTS -- NOTES 14 Funding, Margin, and Capital Costs -- 14.1 BANK FINANCING -- 14.2 CAPITAL -- 14.3 FUNDING -- NOTES -- 15 Quantifying Exposure -- 15.1 METHODS FOR QUANTIFYING EXPOSURE -- 15.2 EXPOSURE ALLOCATION -- 15.3 MONTE CARLO METHODOLOGY -- 15.4 CHOICE OF MODELS -- 15.5 MODELLING MARGIN (COLLATERAL) -- 15.6 EXAMPLES -- NOTES -- Section 4: The xVAs -- 16 The Starting Point and Discounting -- 16.1 THE STARTING POINT -- 16.2 COLVA AND DISCOUNTING -- 16.3 BEYOND PERFECT COLLATERALISATION -- XVA -- NOTES -- 17 CVA -- 17.1 OVERVIEW -- 17.2 CREDIT VALUE ADJUSTMENT -- 17.3 DEBT VALUE ADJUSTMENT … (more)
- Edition:
- Fourth edition
- Publisher Details:
- Chichester, West Sussex, United Kingdom : Wiley
- Publication Date:
- 2020
- Extent:
- 1 online resource
- Subjects:
- 332.64/57
Derivative securities -- Mathematical models
Risk management
Derivative securities -- Mathematical models
Risk management
Electronic books
Electronic books - Languages:
- English
- ISBNs:
- 9781119509004
1119509009
1119509025
9781119509028 - Related ISBNs:
- 9781119509028
9781119508977 - Notes:
- Note: Includes bibliographical references and index.
- Access Rights:
- Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
- Access Usage:
- Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD.DS.504649
- Ingest File:
- 03_078.xml