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Xva Credit, Funding and Capital Valuation Adjustments

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ISBN-10: 111855678X

ISBN-13: 9781118556788

Edition: 2015

Authors: Andrew Green

List price: $95.00
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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 class Monte Carlo engines. Credit mitigants such as netting and CSA agreements are essential to moderating counterparty risk and hence need to be correctly included in CVA calculations and the book describes how this can be done. Wrong-way and right-way risks remain critical issues, and the latest models that encompass these factors are discussed. The book describes how CVA and FVA sensitivities can…    
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Book details

List price: $95.00
Copyright year: 2015
Publisher: John Wiley & Sons, Incorporated
Publication date: 12/14/2015
Binding: Hardcover
Pages: 544
Size: 7.00" wide x 9.90" long x 1.30" tall
Weight: 2.288
Language: English