PRACTICAL APPROACH TO XVA, A
Autor Osamu Tsuchiyaen Limba Engleză Paperback – 8 mai 2020
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.
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Specificații
ISBN-13: 9789811221422
ISBN-10: 9811221421
Pagini: 340
Dimensiuni: 152 x 229 x 18 mm
Greutate: 0.45 kg
Editura: World Scientific
ISBN-10: 9811221421
Pagini: 340
Dimensiuni: 152 x 229 x 18 mm
Greutate: 0.45 kg
Editura: World Scientific