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Osamu Tsuchiya Practical Approach To Xva, A: The Evolution Of Deriva (Paperback)
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- Book Title
- Practical Approach To Xva, A: The Evolution Of Derivatives Valuat
- Title
- Practical Approach To Xva, A: The Evolution Of Derivatives Valuat
- EAN
- 9789811221422
- ISBN
- 9789811221422
- Release Year
- 2019
- Release Date
- 21/05/2019
- Country/Region of Manufacture
- SG
- Genre
- Business & Finance
- Publication Year
- 2019
- Type
- Textbook
- Format
- Paperback
- Language
- English
- Publication Name
- Practical Approach to Xva, A: the Evolution of Derivatives Valuation after the Financial Crisis
- Publisher
- World Scientific Publishing Co Pte Ltd
- Subject
- Finance
- Number of Pages
- 340 Pages
關於產品
Product Information
The 2008 financial crisis shook the financial derivatives market to its core, revealing a failure to fully price the cost of doing business then. As a response to this, and to cope with regulatory demands for massively increased capital and other measures with funding cost, the pre-2008 concept of Credit Valuation Adjustment (CVA) has evolved into the far more complex hybrid Cross Valuation Adjustment (XVA).This book presents a clear and concise framework and provides key considerations for the computation of myriad adjustments to the price of financial derivatives, to fully reflect costs. XVA has been of great interest recently due to heavy funding costs (FVA), initial margin (MVA) and capital requirements (KVA) required to sustain a derivatives business since 2008, in addition to the traditional concepts of cost from counterparty default or credit deterioration (CVA), and its mirror image - the cost of one own's default (DVA).The book takes a practitioner's perspective on the above concepts, and then provides a framework to implement such adjustments in practice. Models are presented too, taking note of what is computationally feasible in light of portfolios typical of investment banks, and the different instruments associated with these portfolios.
Product Identifiers
Publisher
World Scientific Publishing Co Pte Ltd
ISBN-13
9789811221422
eBay Product ID (ePID)
28046450836
Product Key Features
Publication Name
Practical Approach to Xva, A: the Evolution of Derivatives Valuation after the Financial Crisis
Format
Paperback
Language
English
Subject
Finance
Publication Year
2019
Type
Textbook
Number of Pages
340 Pages
Additional Product Features
Country/Region of Manufacture
Singapore
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增值稅識別編號：
- GB 864 1548 11
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