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E-grāmata: xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin

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  • Formāts: PDF+DRM
  • Sērija : Wiley Finance
  • Izdošanas datums: 04-Jun-2020
  • Izdevniecība: John Wiley & Sons Inc
  • Valoda: eng
  • ISBN-13: 9781119509028
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xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial MarginPalielināt
  • Formāts: PDF+DRM
  • Sērija : Wiley Finance
  • Izdošanas datums: 04-Jun-2020
  • Izdevniecība: John Wiley & Sons Inc
  • Valoda: eng
  • ISBN-13: 9781119509028
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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.

List of Spreadsheets
xix
List of Appendices
xxi
Acknowledgements xxiii
About the Author xxv
Section 1 Basics
1 Introduction
3(2)
2 Derivatives
5(36)
2.1 Introduction
5(1)
2.2 The Derivatives Market
6(14)
2.2.1 Exchange-traded and OTC Derivatives
6(2)
2.2.2 Clearing
8(1)
2.2.3 Market Overview
9(2)
2.2.4 Market Participants and Collateralisation
11(3)
2.2.5 Banks and End Users
14(2)
2.2.6 ISDA Documentation
16(1)
2.2.7 Credit Derivatives
17(1)
2.2.8 Financial Weapons of Mass Destruction
18(1)
2.2.9 The Lehman Brothers Bankruptcy
19(1)
2.3 Derivative Risks
20(4)
2.3.1 Market Risk
21(1)
2.3.2 Credit Risk
21(1)
2.3.3 Operational and Legal Risk
22(1)
2.3.4 Liquidity Risk
22(1)
2.3.5 Integration of Risk Types
23(1)
2.3.6 Counterparty Risk
23(1)
2.4 Systemic Risk of Derivatives
24(4)
2.4.1 Overview
24(1)
2.4.2 Special Purpose Vehicles
24(1)
2.4.3 Derivatives Product Companies
25(1)
2.4.4 Monolines and CDPCs
26(2)
2.5 The Global Financial Crisis and Central Clearing of OTC Derivatives
28(8)
2.5.1 OTC Derivatives and the Crisis
28(1)
2.5.2 OTC Derivatives Clearing
29(2)
2.5.3 CCPs in the Global Financial Crisis
31(1)
2.5.4 The Clearing Mandate
32(1)
2.5.5 Bilateral Margin Requirements
33(1)
2.5.6 CCPs in Context
34(2)
2.6 Derivatives Risk Modelling
36(5)
2.6.1 Value-at-risk
36(2)
2.6.2 Models
38(1)
2.6.3 Correlation and Dependency
39(2)
3 Counterparty Risk and Beyond
41(22)
3.1 Counterparty Risk
41(13)
3.1.1 Counterparty Risk Versus Lending Risk
41(1)
3.1.2 Settlement, Pre-settlement, and Margin Period of Risk
42(3)
3.1.3 Mitigating Counterparty Risk
45(1)
3.1.4 Product Type
46(2)
3.1.5 Credit Limits
48(2)
3.1.6 Credit Value Adjustment
50(1)
3.1.7 What Does CVA Represent?
51(1)
3.1.8 Hedging Counterparty Risk and the CVA Desk
52(2)
3.2 Beyond Counterparty Risk
54(3)
3.2.1 Overview
54(1)
3.2.2 Economic Costs of a Derivative
54(1)
3.2.3 xVA Terms
55(2)
3.3 Components of xVA
57(6)
3.3.1 Overview
57(1)
3.3.2 Valuation and Mark-to-market
57(1)
3.3.3 Replacement Cost and Credit Exposure
58(1)
3.3.4 Default Probability, Credit Migration, and Credit Spreads
59(1)
3.3.5 Recovery and Loss Given Default
60(1)
3.3.6 Funding, Collateral, and Capital Costs
61(2)
4 Regulation
63(22)
4.1 Regulation and the Global Financial Crisis
63(1)
4.2 Capital Requirements
64(9)
4.2.1 Overview
64(1)
4.2.2 Capital Ratios
65(2)
4.2.3 Risk Type
67(1)
4.2.4 Market Risk Capital
68(1)
4.2.5 CVA Capital
69(1)
4.2.6 CCR Capital
70(1)
4.2.7 Leverage Ratio
70(1)
4.2.8 Capital Floors
71(1)
4.2.9 Large Exposure Framework
72(1)
4.2.10 Bank Stress Tests
73(1)
4.2.11 Prudent Valuation
73(1)
4.3 Liquidity
73(4)
4.3.1 Overview
73(1)
4.3.2 High-quality Liquid Assets
74(1)
4.3.3 Liquidity Coverage Ratio
75(1)
4.3.4 Net Stable Funding Ratio
76(1)
4.4 Clearing and Margining
77(8)
4.4.1 Central Clearing
77(4)
4.4.2 Bilateral Margin Requirements
81(1)
4.4.3 Exemptions
82(2)
4.4.4 CCP Capital Requirements
84(1)
5 What is xVA?
85(26)
5.1 Overview
85(1)
5.2 Analysis of xVA
86(7)
5.2.1 Definition
86(1)
5.2.2 Components
86(1)
5.2.3 Why Valuation Adjustments?
87(1)
5.2.4 Mark-to-market and xVA as a Cost (and Benefit)
88(2)
5.2.5 xVAs by Transaction Type
90(1)
5.2.6 Overlaps and Portfolio Effects
91(1)
5.2.7 CVA is the Least Real Valuation Adjustment
92(1)
5.3 Valuation
93(7)
5.3.1 Price and Value
93(1)
5.3.2 xVA Markets
94(1)
5.3.3 Accounting Standards
95(3)
5.3.4 Accounting Trends
98(1)
5.3.5 Totem
99(1)
5.3.6 Contractual Terms and Value
100(1)
5.4 Pricing
100(11)
5.4.1 Reality or Creating the Right Incentive?
100(1)
5.4.2 Approach for Capital
101(1)
5.4.3 Approach to Regulatory Ratios
102(2)
5.4.4 Lack of Arbitrage
104(1)
5.4.5 Entry and Exit Pricing
105(1)
5.4.6 xVA Quantification
106(1)
5.4.7 Special Cases
106(5)
Section 2 Risk Mitigation
6 Netting, Close-Out, and Related Aspects
111(26)
6.1 Overview
111(1)
6.2 Cash Flow Netting
112(9)
6.2.1 Payment Netting
112(1)
6.2.2 Currency Netting and CLS
113(1)
6.2.3 Clearing Rings
114(1)
6.2.4 Portfolio Compression
115(3)
6.2.5 Compression Algorithm
118(2)
6.2.6 Benefits of Cashflow Netting
120(1)
6.3 Value Netting
121(9)
6.3.1 Overview
121(1)
6.3.2 Close-out Netting
121(1)
6.3.3 Payment Under Close-out
122(2)
6.3.4 Close-out and xVA
124(1)
6.3.5 ISDA Definitions
125(4)
6.3.6 Set-off
129(1)
6.4 The Impact of Netting
130(7)
6.4.1 Risk Reduction
130(1)
6.4.2 The Impact of Netting
131(1)
6.4.3 Multilateral Netting and Bifurcation
132(3)
6.4.4 Netting Impact on Other Creditors
135(2)
7 Margin (Collateral) and Settlement
137(48)
7.1 Termination and Reset Features
137(4)
7.1.1 Break Clauses
137(3)
7.1.2 Resettable Transactions
140(1)
7.2 Basics of Margin/Collateral
141(11)
7.2.1 Terminology
141(1)
7.2.2 Rationale
142(2)
7.2.3 Variation Margin and Initial Margin
144(1)
7.2.4 Method of Transfer and Remuneration
145(2)
7.2.5 Rehypothecation and Segregation
147(3)
7.2.6 Settle to Market
150(1)
7.2.7 Valuation Agent, Disputes, and Reconciliations
151(1)
7.3 Margin Terms
152(14)
7.3.1 The Credit Support Annex
152(1)
7.3.2 Types of CSA
153(1)
7.3.3 Margin Call Frequency
154(1)
7.3.4 Threshold, Initial Margin, and the Minimum Transfer Amount
155(2)
7.3.5 Margin Types and Haircuts
157(4)
7.3.6 Credit Support Amount Calculations
161(2)
7.3.7 Impact of Margin on Exposure
163(2)
7.3.8 Traditional Margin Practices in Bilateral and Centrally-cleared Markets
165(1)
7.4 Bilateral Margin Requirements
166(7)
7.4.1 General Requirements
166(2)
7.4.2 Phase-in and Coverage
168(1)
7.4.3 Initial Margin and Haircut Calculations
169(2)
7.4.4 Eligible Assets and Haircuts
171(1)
7.4.5 Implementation and Impact of the Requirements
172(1)
7.5 Impact of Margin
173(7)
7.5.1 Impact on Other Creditors
173(1)
7.5.2 Market Risk and Margin Period of Risk
174(4)
7.5.3 Liquidity, FX, and Wrong-way Risks
178(1)
7.5.4 Legal and Operational Risks
179(1)
7.6 Margin and Funding
180(5)
7.6.1 Overview
180(1)
7.6.2 Margin and Funding Liquidity Risk
181(4)
8 Central Clearing
185(28)
8.1 Evolution of Central Clearing
185(4)
8.1.1 Exchange Trading
185(1)
8.1.2 Evolution of Complete Clearing
186(1)
8.1.3 What is a CCP?
187(2)
8.2 Mechanics of Central Clearing
189(8)
8.2.1 Landscape
189(2)
8.2.2 Novation
191(1)
8.2.3 Multilateral Offset and Compression
192(2)
8.2.4 Margin and Default Funds
194(1)
8.2.5 Clearing Relationships
195(2)
8.3 CCP Risk. Management
197(8)
8.3.1 Overview and Membership Requirements
197(1)
8.3.2 Margin
198(1)
8.3.3 Default Scenarios and Margin Period of Risk
199(3)
8.3.4 The Loss Waterfall
202(2)
8.3.5 Comparing Bilateral and Central Clearing
204(1)
8.4 Initial Margin and Default Funds
205(4)
8.4.1 Coverage of Initial Margin and Default Funds
205(1)
8.4.2 Default Fund Versus Initial Margin
206(1)
8.4.3 Default Fund Coverage
207(2)
8.5 Impact of Central Clearing
209(4)
8.5.1 Advantages and Disadvantages of Central Clearing
209(1)
8.5.2 Will Mandatory Clearing Kill Credit Value Adjustment?
210(3)
9 Initial Margin Methodologies
213(42)
9.1 Role of Initial Margin
213(9)
9.1.1 Purpose
213(2)
9.1.2 Margin Period of Risk
215(2)
9.1.3 Coverage: Quantitative and Qualitative
217(1)
9.1.4 Haircuts
218(1)
9.1.5 Linkage to Credit Quality
218(2)
9.1.6 Cross-margining
220(2)
9.2 Initial Margin Approaches
222(7)
9.2.1 Simple Approaches
222(1)
9.2.2 SPAN®
223(4)
9.2.3 Value-at-risk and Expected Shortfall
227(2)
9.3 Historical Simulation
229(13)
9.3.1 Overview
229(1)
9.3.2 Look-back Period
230(1)
9.3.3 Relative and Absolute Returns
231(2)
9.3.4 Volatility Scaling
233(1)
9.3.5 Procyclicality
234(5)
9.3.6 Current CCP Methodologies
239(2)
9.3.7 Computational Considerations
241(1)
9.4 Bilateral Margin and SIMM
242(13)
9.4.1 Overview
242(2)
9.4.2 Standard Schedules
244(1)
9.4.3 Variance-covariance Approaches
245(4)
9.4.4 The ISDA SIMM
249(3)
9.4.5 Implementation of Bilateral Margin Requirements
252(3)
10 The Impact and Risk of Clearing and Margining
255(28)
10.1 Risks of Central Clearing
256(6)
10.1.1 Historical CCP Problems
256(2)
10.1.2 The 1987 Stock Market Crash
258(1)
10.1.3 The 2018 Nasdaq Case
259(1)
10.1.4 Risks Faced by CCPs
260(1)
10.1.5 Risks Caused by CCPs
261(1)
10.2 Analysis of a CCP Loss Structure
262(9)
10.2.1 Review of the Loss Waterfall
262(2)
10.2.2 Impact of Default Fund Exposure
264(1)
10.2.3 The Prisoner's Dilemma and AIPs
265(2)
10.2.4 Other Loss Allocation Methods
267(4)
10.3 Impact of Margin
271(12)
10.3.1 Background and Historical Examples
271(2)
10.3.2 Variation Margin
273(2)
10.3.3 Initial Margin
275(1)
10.3.4 Cost and xVA
276(1)
10.3.5 Seniority
277(1)
10.3.6 Bilateral and Cleared Markets
277(6)
Section 3 Building Blocks
11 Future Value and Exposure
283(32)
11.1 Credit Exposure
283(9)
11.1.1 Positive and Negative Exposure
283(1)
11.1.2 Definition of Value
284(1)
11.1.3 Current and Potential Future Exposure
285(1)
11.1.4 Nature of Exposure
286(2)
11.1.5 Metrics
288(4)
11.2 Drivers of Exposure
292(10)
11.2.1 Future Uncertainty
292(1)
11.2.2 Cash Flow Frequency
293(1)
11.2.3 Curve Shape
294(3)
11.2.4 Moneyness
297(1)
11.2.5 Combination of Profiles
298(1)
11.2.6 Optionality
299(1)
11.2.7 Credit Derivatives
300(2)
11.3 Aggregation, Portfolio Effects, and the Impact of Collateralisation
302(6)
11.3.1 The Impact of Aggregation on Exposure
302(2)
11.3.2 Off-market Portfolios
304(1)
11.3.3 Impact of Margin
305(3)
11.4 Funding, Rehypothecation, and Segregation
308(7)
11.4.1 Funding Costs and Benefits
308(1)
11.4.2 Differences Between Funding and Credit Exposure
309(1)
11.4.3 Impact of Segregation and Rehypothecation
310(2)
11.4.4 Impact of Margin on Exposure and Funding
312(3)
12 Credit Spreads, Default Probabilities, and LGDs
315(24)
12.1 Default Probability
315(8)
12.1.1 Real World and Risk Neutral
315(1)
12.1.2 CVA and Risk-neutral Default Probabilities
316(3)
12.1.3 Defining Risk-neutral Default Probabilities
319(2)
12.1.4 Loss Given Default
321(2)
12.2 Credit Curve Mapping
323(7)
12.2.1 Overview
323(1)
12.2.2 The CDS Market
324(2)
12.2.3 Loss Given Default
326(1)
12.2.4 General Approach
327(3)
12.3 Generic Curve Construction
330(9)
12.3.1 General Approach
330(2)
12.3.2 Intersection (Bucketing) Approach
332(2)
12.3.3 Cross-section Methodology
334(2)
12.3.4 Curve Shape, Interpolation, and Indices
336(1)
12.3.5 Third-party Providers
337(1)
12.3.6 Hedging
338(1)
13 Regulatory Methodologies
339(50)
13.1 Overview
339(2)
13.2 Credit Risk (Default Risk) Capital
341(2)
13.2.1 Standardised Approach
341(1)
13.2.2 Internal Ratings-based Approach
342(1)
13.2.3 Guarantees
343(1)
13.3 CVA (Market Risk) Capital
343(13)
13.3.1 The CVA Capital Charge
343(1)
13.3.2 Standardised CVA Risk Capital Charge
344(1)
13.3.3 BA-CVA
345(3)
13.3.4 Advanced CVA Capital Risk Charge
348(3)
13.3.5 SA-CVA
351(4)
13.3.6 Capital Relief and EU Exemptions
355(1)
13.4 Exposure Calculation Methodologies
356(18)
13.4.1 Exposure at Default
356(2)
13.4.2 Current Exposure Method
358(3)
13.4.3 Standardised Approach for Counterparty Credit Risk
361(5)
13.4.4 Broader Impact of SA-CCR
366(1)
13.4.5 The Internal Model Method
367(5)
13.4.6 The Leverage Ratio
372(1)
13.4.7 Wrong-way Risk
373(1)
13.5 Examples
374(10)
13.5.1 Comparison of EAD Methods
374(3)
13.5.2 Comparison of Capital Charges
377(2)
13.5.3 Impact of Hedges
379(5)
13.6 Central Counterparty Capital Requirements
384(5)
13.6.1 Background
384(1)
13.6.2 Trade Exposure
385(1)
13.6.3 Default Fund Exposure
385(1)
13.6.4 Client Clearing
386(3)
14 Funding, Margin, and Capital Costs
389(20)
14.1 Bank Financing
389(2)
14.2 Capital
391(3)
14.2.1 Minimum Capital Ratios and Capital Costs
391(2)
14.2.2 Leverage Ratio
393(1)
14.2.3 Cost of Capital
394(1)
14.3 Funding
394(15)
14.3.1 Overview
394(4)
14.3.2 Cost of Funding
398(2)
14.3.3 The Risk-free Rate, IBOR, and OIS
400(2)
14.3.4 IBOR Transition
402(1)
14.3.5 Funding Spreads
403(3)
14.3.6 NSFR and LCR
406(1)
14.3.7 Accounting
406(3)
15 Quantifying Exposure
409(56)
15.1 Methods for Quantifying Exposure
409(5)
15.1.1 Overview
409(1)
15.1.2 Parametric Approaches
410(1)
15.1.3 Semianalytical Methods
411(3)
15.1.4 Monte Carlo Simulation
414(1)
15.2 Exposure Allocation
414(5)
15.2.1 Overview
414(1)
15.2.2 Incremental and Marginal Exposure
414(3)
15.2.3 Impact of Dependency
417(2)
15.3 Monte Carlo Methodology
419(11)
15.3.1 Basic Framework
419(2)
15.3.2 Revaluation, Cash Flow Bucketing, and Scaling
421(2)
15.3.3 Risk-neutral or Physical Measure
423(6)
15.3.4 Aggregation Level
429(1)
15.4 Choice of Models
430(9)
15.4.1 Overview
430(2)
15.4.2 Interest Rates
432(3)
15.4.3 Foreign Exchange
435(2)
15.4.4 Other Asset Classes
437(1)
15.4.5 Correlations, Proxies, and Extrapolation
437(2)
15.5 Modelling Margin (Collateral)
439(9)
15.5.1 Overview
439(2)
15.5.2 Margin Period of Risk
441(1)
15.5.3 Modelling Approach
442(3)
15.5.4 Initial Margin
445(3)
15.6 Examples
448(17)
15.6.1 Interest Rate Swap Example
448(2)
15.6.2 Trade-level Exposures
450(2)
15.6.3 Portfolio Exposures
452(4)
15.6.4 Notional Resets
456(1)
15.6.5 Impact of Variation Margin
457(3)
15.6.6 Impact of Initial Margin
460(5)
Section 4 The xVAs
16 The Starting Point and Discounting
465(20)
16.1 The Starting Point
465(4)
16.1.1 Basic Valuation
465(1)
16.1.2 Perfect Collateralisation
466(1)
16.1.3 Collateral or OIS Discounting
467(2)
16.2 ColVA and Discounting
469(11)
16.2.1 Definition of ColVA
469(1)
16.2.2 Asymmetry
470(3)
16.2.3 Cheapest-to-deliver Optionality
473(5)
16.2.4 Non-cash Margin
478(1)
16.2.5 The End of ColVA
479(1)
16.3 Beyond Perfect Collateralisation -- xVA
480(5)
16.3.1 Overview
480(2)
16.3.2 Definition of xVA Terms
482(3)
17 CVA
485(44)
17.1 Overview
485(1)
17.2 Credit Value Adjustment
486(12)
17.2.1 CVA Compared to Traditional Credit Pricing
486(1)
17.2.2 Direct and Path-wise CVA Formulas
487(5)
17.2.3 CVA as a Spread
492(1)
17.2.4 Special Cases
493(1)
17.2.5 Credit Spread Effects
493(2)
17.2.6 Loss Given Default
495(3)
17.3 Debt Value Adjustment
498(8)
17.3.1 Accounting Background
498(1)
17.3.2 DVA, Price, and Value
499(1)
17.3.3 Bilateral CVA Formula
500(2)
17.3.4 Close-out and Default Correlation
502(1)
17.3.5 The Use of DVA
503(3)
17.4 CVA Allocation
506(4)
17.4.1 Incremental CVA
506(3)
17.4.2 Marginal CVA
509(1)
17.5 Impact of Margin
510(4)
17.5.1 Overview
510(1)
17.5.2 Example
511(1)
17.5.3 Initial Margin
512(1)
17.5.4 CVA to CCPs
513(1)
17.6 Wrong-way Risk
514(15)
17.6.1 Overview
514(2)
17.6.2 Quantification of WWR in CVA
516(2)
17.6.3 Wrong-way Risk Models
518(4)
17.6.4 Jump Approaches
522(2)
17.6.5 Credit Derivatives
524(1)
17.6.6 Collateralisation and WWR
525(1)
17.6.7 Central Clearing and WWR
526(3)
18 FVA
529(36)
18.1 Overview
529(1)
18.2 FVA and Discounting
530(21)
18.2.1 Market Practice
530(1)
18.2.2 Source of Funding Costs and Benefits
531(3)
18.2.3 Definition of FVA
534(1)
18.2.4 Symmetric FVA Formula
535(4)
18.2.5 CVA/DVA/FVA Framework
539(7)
18.2.6 The FVA Debate
546(2)
18.2.7 Funding Costs and FVA Accounting
548(3)
18.3 Asymmetric FVA
551(14)
18.3.1 Overview
551(1)
18.3.2 Asymmetric FVA
552(3)
18.3.3 FVA Allocation
555(3)
18.3.4 NSFR Invariance
558(2)
18.3.5 Funding Strategies
560(1)
18.3.6 LCR Costs
561(2)
18.3.7 Funding and Wrong-way Risk
563(2)
19 KVA
565(26)
19.1 Overview
565(1)
19.2 Capital Value Adjustment (KVA)
566(11)
19.2.1 Return on Capital
566(1)
19.2.2 KVA Formula
567(1)
19.2.3 Capital Profiles
568(4)
19.2.4 KVA Example
572(1)
19.2.5 Implementation of KVA
573(2)
19.2.6 The Leverage Ratio
575(2)
19.3 Management of KVA
577(10)
19.3.1 Current Treatment of KVA by Banks
577(3)
19.3.2 Optimal KVA Management
580(5)
19.3.3 Discounting
585(1)
19.3.4 KVA Accounting
585(2)
19.4 KVA Overlaps
587(4)
19.4.1 CVA and KVA
587(2)
19.4.2 FVA and KVA
589(2)
20 MVA
591(18)
20.1 Overview
591(3)
20.2 Initial Margin Funding Costs
594(8)
20.2.1 Introduction
594(1)
20.2.2 MVA Formula
594(1)
20.2.3 EIM Term
595(4)
20.2.4 Computation Challenges
599(1)
20.2.5 Pricing and MVA Example
600(2)
20.3 MVA
602(4)
20.3.1 A Need to Charge MVA?
602(1)
20.3.2 Accounting MVA
603(1)
20.3.3 Contingent MVA
603(1)
20.3.4 CCP Basis
604(2)
20.4 Link to KVA
606(3)
20.4.1 Overview
606(1)
20.4.2 Example
607(2)
21 Actively Managing xVA and the Role of an xVA Desk
609(40)
21.1 The Role of an xVA Desk
609(10)
21.1.1 Motivation
609(2)
21.1.2 Charging Structure and Coverage
611(3)
21.1.3 Time Decay
614(1)
21.1.4 Profit Centre or Utility?
615(2)
21.1.5 Pricing
617(2)
21.2 Hedging
619(19)
21.2.1 Overview
619(2)
21.2.2 Sensitivities
621(4)
21.2.3 Gamma, Cross-gamma, Tail Risk, and Rebalancing
625(2)
21.2.4 Market Practice
627(2)
21.2.5 Jump to Default Risk
629(1)
21.2.6 Beta Hedging
630(1)
21.2.7 Risk Limits and P&L Explain
631(2)
21.2.8 Examples
633(1)
21.2.9 Impact on Capital
634(4)
21.2.10 Pushing xVA into Base Value
638(1)
21.3 Operation of an xVA Desk
638(11)
21.3.1 Interaction with a Treasury
638(2)
21.3.2 Capital
640(1)
21.3.3 Systems and Quantification
641(4)
21.3.4 xVA Optimisation
645(4)
Glossary 649(4)
References 653(14)
Index 667
JON GREGORY, PHD, is an independent expert specialising in counterparty risk and related aspects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and is a faculty member for the Certificate of Quantitative Finance (CQF). Jon has a PhD from Cambridge University.
Biežāk uzdotie jautājumi par e-grāmatām Biežāk uzdotie jautājumi par e-grāmatām
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