000			03353cam a22003138i 4500
001			21374326
003			OSt
005			20251208073102.0
008			200108s2020 enk b 001 0 eng
010			_a 2019058762
020			_a9781119508977 _q(hardback)
020			_z9781119509028
020			_z9781119509004 _q(epub)
035			_a21374326
040			_aSEKU
050	0	0	_aHG6024.A3 _bG74 2020
100	1		_aGregory, Jon, _d1971- _eauthor.
240	1	0	_aCounterparty credit risk and credit value adjustment
245	1	4	_aThe xVA challenge : _bcounterparty risk, funding, collateral, capital and initial margin / _cJon Gregory.
250			_aFourth edition.
263			_a2004
264		1	_aChichester, West Sussex, United Kingdom : _bJohn Wiley & Sons, _c2020.
300			_axviii,678 Pg.:
504			_aIncludes bibliographical references and index.
520			_a"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"-- _cProvided by publisher.
650		0	_aDerivative securities _xMathematical models.
650		0	_aRisk management.
942			_2lcc _cGEN
999			_c18733 _d18733