| Description |
1 online resource |
| Contents |
Series -- Title page -- Copyright -- Dedication -- Acknowledgements -- CHAPTER 1 Introduction: The Valuation of Derivative Portfolios -- 1.1 What this book is about -- 1.2 Prices and Values -- 1.3 Trade Economics in Derivative Pricing -- 1.4 Post-Crisis Derivative Valuation or How I Learned to Stop Worrying and Love FVA -- 1.5 Reading this Book -- Notes -- PART ONE CVA and DVA: Counterparty Credit Risk and Credit Valuation Adjustment -- CHAPTER 2 Introducing Counterparty Risk -- 2.1 Defining Counterparty Risk |
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2.2 CVA and DVA: Credit Valuation Adjustment and Debit Valuation Adjustment Defined2.3 The Default Process -- 2.4 Credit Risk Mitigants -- Notes -- CHAPTER 3 CVA and DVA: Credit and Debit Valuation Adjustment Models -- 3.1 Introduction -- 3.2 Unilateral CVA Model -- 3.3 Bilateral CVA Model: CVA and DVA -- 3.4 Modelling Dependence between Counterparties -- 3.5 Components of a CVA Calculation Engine -- 3.6 Counterparty Level CVA vs. Trade Level CVA -- 3.7 Recovery Rate/Loss-Given-Default Assumptions -- Notes -- CHAPTER 4 CDS and Default Probabilities |
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4.1 Survival Probabilities and CVA4.2 Historical versus Implied Survival Probabilities -- 4.3 Credit Default Swap Valuation -- 4.4 Bootstrapping the Survival Probability Function -- 4.5 CDS and Capital Relief -- 4.6 Liquid and Illiquid Counterparties -- Notes -- CHAPTER 5 Analytic Models for CVA and DVA -- 5.1 Analytic CVA Formulae -- 5.2 Interest Rate Swaps -- 5.3 Options: Interest Rate Caplets and Floorlets -- 5.4 FX Forwards -- CHAPTER 6 Modelling Credit Mitigants -- 6.1 Credit Mitigants -- 6.2 Close-out Netting -- 6.3 Break Clauses |
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6.4 Variation Margin and CSA Agreements6.5 Non-financial Security and the Default Waterfall -- Notes -- CHAPTER 7 Wrong-way and Right-way Risk for CVA -- 7.1 Introduction: Wrong-way and Right-way Risks -- 7.2 Distributional Models of Wrong-way/ Right-way Risk -- 7.3 A Generalised Discrete Approach to Wrong-Way Risk -- 7.4 Stochastic Credit Models of Wrong-way/Right-way Risk -- 7.5 Wrong-way/Right-way Risk and DVA -- Notes -- PART TWO FVA: Funding Valuation Adjustment -- CHAPTER 8 The Discount Curve -- 8.1 Introduction -- 8.2 A Single Curve World |
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8.3 Curve Interpolation and Smooth Curves8.4 Cross-currency Basis -- 8.5 Multi-curve and Tenor Basis -- 8.6 OIS and CSA Discounting -- 8.7 Conclusions: Discounting -- Notes -- CHAPTER 9 Funding Costs: Funding Valuation Adjustment (FVA) -- 9.1 Explaining Funding Costs -- 9.2 First Generation FVA: Discount Models -- 9.3 Double Counting and DVA -- 9.4 Second Generation FVA: Exposure Models -- 9.5 Residual FVA and CSAs -- 9.6 Asymmetry -- 9.7 Risk Neutrality, Capital and the Modigliani-Miller Theorem -- 9.8 Wrong-way/Right-way Risk and FVA -- Notes |
| Summary |
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 be accurately measured, an essential part of any CVA and FVA management strategy. The technological challenge presented by CVA and FVA is immense with CVA and FVA calculations are amongst the most computationally demanding in finance today. It is vitally important then that the technology infrastructure, including grid computing, calculation workflow and management of data volumes be considered alongside model development and this is considered in depth. This is equally important for both model builders and those adopting third party software solutions. Finally the regulatory framework introduced under Basel III includes CVA capital presenting massive implications for the finance industry and these are described in full |
| Notes |
Title from resource description page (Recorded Books, viewed November 21, 2013) |
| Subject |
Business.
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business (commercial function)
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BUSINESS & ECONOMICS -- Finance.
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Business
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| Form |
Electronic book
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| ISBN |
9781118556764 |
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1118556763 |
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