MARC details
| 000 -LEADER |
|---|
| fixed length control field |
03353cam a22003138i 4500 |
| 001 - CONTROL NUMBER |
|---|
| control field |
21374326 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20251208073102.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
200108s2020 enk b 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
|---|
| LC control number |
2019058762 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781119508977 |
| Qualifying information |
(hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| Canceled/invalid ISBN |
9781119509028 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| Canceled/invalid ISBN |
9781119509004 |
| Qualifying information |
(epub) |
| 035 ## - SYSTEM CONTROL NUMBER |
|---|
| System control number |
21374326 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
SEKU |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG6024.A3 |
| Item number |
G74 2020 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Gregory, Jon, |
| Dates associated with a name |
1971- |
| Relator term |
author. |
| 240 10 - UNIFORM TITLE |
|---|
| Uniform title |
<a href="Counterparty credit risk and credit value adjustment">Counterparty credit risk and credit value adjustment</a> |
| 245 14 - TITLE STATEMENT |
|---|
| Title |
The xVA challenge : |
| Remainder of title |
counterparty risk, funding, collateral, capital and initial margin / |
| Statement of responsibility, etc. |
Jon Gregory. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
Fourth edition. |
| 263 ## - PROJECTED PUBLICATION DATE |
|---|
| Projected publication date |
2004 |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Chichester, West Sussex, United Kingdom : |
| Name of producer, publisher, distributor, manufacturer |
John Wiley & Sons, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2020. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xviii,678 Pg.: |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
"In 2007, a so-called credit crisis began. This crisis eventually became more severe and long-lasting than could have ever been anticipated. One result of the "global financial crisis" was a clear realisation that banks needed to be subject to much stricter regulation and conservative requirements over aspects such as capital. It has become all too clear that there has been a significant "too big to fail" problem in that the biggest banks and financial firms could not be allowed to fail and therefore should be subject to even tighter risk controls and oversight. It is not, therefore, surprising that new regulation started to emerge very quickly with the Dodd--Frank Act being signed into law in July 2010 and the development and rapid implementation of Basel III guidelines for regulatory capital. Much of the regulation is aimed squarely at the over-the-counter (OTC) derivatives market where aspects such as counterparty risk and liquidity risk were shown to be so significant in the global financial crisis. This pace and range of new regulation has been quite dramatic. Additional capital charges, a central clearing mandate and bilateral rules for posting of collateral have all been aimed at counterparty risk reduction and control. At the same time as the regulatory change, banks have undertaken a dramatic reappraisal of the assumptions they make when pricing, valuing and managing OTC derivatives. Whilst counterparty risk has always been a consideration, its importance has grown, which is seen via significant credit value adjustment (CVA) values reported in bank's financial statements. Banks have also realised the significant impact that funding costs, collateral effects and capital charges have on valuation. Under accounting rules, CVA was subject to a very strange marriage to DVA (debt value adjustment). Nonetheless, this marriage has produced many offspring such as FVA (funding value adjustment), ColVA (collateral value adjustment), KVA (capital value adjustment) and MVA (margin value adjustment). OTC derivatives valuation is now critically dependent on those terms, now generally referred to as xVA. Hence, there is a need to fully define and discuss the world of xVA, taking into account the nature of the underlying market dynamics and new regulatory environment. This is the aim of this book"-- |
| Assigning source |
Provided by publisher. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Derivative securities |
| General subdivision |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Risk management. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
General circulation |