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A thoroughly updated and expanded edition of the xVA challenge The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments (‘xVAs’). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implications of xVA. The pricing and valuation of the different xVA terms has become a much studied topic and many aspects are in constant debate both in industry and academia. • Discussing counterparty credit risk in detail, including the many risk mitigants, and how this leads to the different xVA terms • Explains why banks have undertaken a dramatic reappraisal of the assumptions they make when pricing, valuing and managing derivatives • Covers what the industry generally means by xVA and how it is used by banks, financial institutions and end-users of derivatives • Explains all of the underlying regulatory capital (e.g. SA-CCR, SA-CVA) and liquidity requirements (NSFR and LCR) and their impact on xVA • Underscores why banks have realised the significant impact that funding costs, collateral effects and capital charges have on valuation • Explains how the evolution of accounting standards to cover CVA, DVA, FVA and potentially other valuation adjustments • Explains all of the valuation adjustments – CVA, DVA, FVA, ColVA, MVA and KVA – in detail and how they fit together • Covers quantification of xVA terms by discussing modelling and implementation aspects. Taking into account the nature of the underlying market dynamics and new regulatory environment, this book brings readers up to speed on the latest developments on the topic.

XVA: Credit, Funding and Capital Valuation - Amazon.com
Andrew Green (Author) Format: Kindle Edition capital and margin requirements arising from CCPs and bilateral initial margin. The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Wiley Finance) It is a must read for everyone interested in post crisis valuation of financial derivatives."
Counterparty Credit Risk: The new challenge for global
The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin (Wiley Finance) Investment Banking: Valuation, LBOs, M&A, and IPOs (Includes Valuation Models + Online Course) 3rd Edition (Wiley Finance) From 1997 to 2005, he worked for BNP Paribas, initially developing the framework for the 
The Xva Challenge : Counterparty Credit - Books Kinokuniya
Counterparty credit risk and related aspects such as funding, collateral, and The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital 71 6.2.3 Threshold 73 6.2.4 Initial margin 74 6.2.5 Minimum transfer amount and 
XVA - Wikipedia
While the CVA reflects the market value of counterparty credit risk, additional Valuation Adjustments for debit, funding cost, regulatory capital and margin may 
The xVA Challenge Counterparty Credit Risk, Funding - GBV
Credit Risk, Funding,. Collateral and Capital. Third Edition 85. 6.4.4 Segregation. 87. 6.4.5 Variation and initial margin rehypothecation and segregation. 88 7.5.4 Impact of collateral on credit and funding exposure. 138. 7.5.5 Examples.