The Resource The XVA of Financial Derivatives: CVA, DVA and FVA Explained, by Dongsheng Lu, (electronic resource)

The XVA of Financial Derivatives: CVA, DVA and FVA Explained, by Dongsheng Lu, (electronic resource)

Label
The XVA of Financial Derivatives: CVA, DVA and FVA Explained
Title
The XVA of Financial Derivatives: CVA, DVA and FVA Explained
Statement of responsibility
by Dongsheng Lu
Creator
Author
Author
Subject
Language
  • eng
  • eng
Summary
This latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's Credit, Funding and Debt value adjustments
Member of
http://library.link/vocab/creatorName
Lu, Dongsheng
Dewey number
500
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
AZ5BBzQyOCc
Language note
English
LC call number
HD61
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Financial Engineering Explained
http://library.link/vocab/subjectName
  • Risk management
  • Banks and banking
  • Financial engineering
  • Investment banking
  • Securities
  • Risk Management
  • Banking
  • Financial Engineering
  • Investments and Securities
Label
The XVA of Financial Derivatives: CVA, DVA and FVA Explained, by Dongsheng Lu, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
  • Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Acknowlegements; Introduction; PART I INTRODUCTION TO DERIVATIVES TRADING; 1 Overview of Derivatives Trading; 1.1 The participants in the derivatives market and their interactions; 1.1.1 Derivative providers vs. derivative users; 1.1.2 The dealer-to-customer market and competition; 1.1.3 The dealer's business model; 1.1.4 The dealer-to-dealer market: the broker market; 1.2 The OTC derivatives trading process; 1.2.1 Pre-trade; 1.2.2 Post-trade; 1.2.3 Risk management and model risk; 1.3 Regulations and controls
  • 1.3.1 External regulations: Dodd-Frank, EMIR and CCAR1.3.2 Basel III; 1.3.3 Effects of regulations: derivative business changes and unintended consequences; Summary; 2 Legal Aspects and Operations of Derivatives Trading; 2.1 Legal aspects of derivatives transactions; 2.1.1 ISDA Master Agreement; 2.1.2 Credit support annex; 2.1.3 Confirmations; 2.1.4 Jurisdiction and enforcement of legal agreements; 2.2 Collateral and operations; 2.3 Derivatives accounting and fair value adjustments; 2.4 Treasury, funding channels and transfer pricing; Summary
  • PART II EXPOSITION OF VARIOUS VALUATION ADJUSTMENTS3 CVA Primer and Credit Default; 3.1 Risk-free rate, overnight index swap (OIS) rate and LIBOR curves; 3.1.1 Risk-free rate and OIS discounting; 3.1.2 Splitting of LIBOR curves; 3.2 Counterparty credit risk; 3.2.1 Counterparty default and recovery; 3.2.2 Credit loss and credit exposures; 3.3 Credit value adjustment; 3.3.1 Introducing CVA; 3.3.2 CDS spread, bond spread and credit default probability; 3.3.3 Constructing a default probability curve; 3.3.4 Correlation of market risk exposure and credit default
  • 3.3.5 CSA and credit terms affecting CVA calculations3.3.6 Bilateral CVA: DVA; 3.3.7 DVA: the dilemma; 3.4 CVA examples; 3.4.1 An interest rate swap; 3.4.2 An FX forward example; 4 FVA Primer: Derivatives Pricing with Funding; 4.1 The funding market; 4.1.1 Financial institutions and the balance sheet; 4.1.2 Dealer's business model and funding of derivatives; 4.2 Collateralization, value of money and differential discounting; 4.2.1 Credit spreads, funding spreads and notations; 4.2.2 The value of collateral; 4.2.3 The value of money: lending to the counterparty
  • 4.2.4 The value of money: borrowing money4.2.5 The value of money: summary; 4.2.6 The equilibrium borrowing/lending rate; 4.2.7 Collateral asset, repo market and rehypothecation; 4.2.8 Collateral currency and cross currency market; 4.2.9 Cross currency swap market; 4.2.10 Multi-collateral choices and choice options; 4.2.11 Multi-funding curves, differential discounting and collateral valuation adjustment; 4.2.12 Collateral operations and replication of collateral values; 4.2.13 Derivative valuations with collateral; 4.2.14 Standardized CSA (SCSA) and tri-party optimization
  • 4.2.15 Example of fully collateralized derivatives
Dimensions
unknown
Edition
1st ed. 2016.
Extent
1 online resource (228 p.)
Form of item
online
Isbn
9781137435842
Media category
computer
Media type code
  • c
Other control number
10.1057/9781137435842
Specific material designation
remote
System control number
  • (CKB)3710000000541835
  • (EBL)4331206
  • (SSID)ssj0001592374
  • (PQKBManifestationID)16288879
  • (PQKBTitleCode)TC0001592374
  • (PQKBWorkID)12400032
  • (PQKB)10095342
  • (DE-He213)978-1-137-43584-2
  • (MiAaPQ)EBC4331206
  • (EXLCZ)993710000000541835
Label
The XVA of Financial Derivatives: CVA, DVA and FVA Explained, by Dongsheng Lu, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
  • Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Acknowlegements; Introduction; PART I INTRODUCTION TO DERIVATIVES TRADING; 1 Overview of Derivatives Trading; 1.1 The participants in the derivatives market and their interactions; 1.1.1 Derivative providers vs. derivative users; 1.1.2 The dealer-to-customer market and competition; 1.1.3 The dealer's business model; 1.1.4 The dealer-to-dealer market: the broker market; 1.2 The OTC derivatives trading process; 1.2.1 Pre-trade; 1.2.2 Post-trade; 1.2.3 Risk management and model risk; 1.3 Regulations and controls
  • 1.3.1 External regulations: Dodd-Frank, EMIR and CCAR1.3.2 Basel III; 1.3.3 Effects of regulations: derivative business changes and unintended consequences; Summary; 2 Legal Aspects and Operations of Derivatives Trading; 2.1 Legal aspects of derivatives transactions; 2.1.1 ISDA Master Agreement; 2.1.2 Credit support annex; 2.1.3 Confirmations; 2.1.4 Jurisdiction and enforcement of legal agreements; 2.2 Collateral and operations; 2.3 Derivatives accounting and fair value adjustments; 2.4 Treasury, funding channels and transfer pricing; Summary
  • PART II EXPOSITION OF VARIOUS VALUATION ADJUSTMENTS3 CVA Primer and Credit Default; 3.1 Risk-free rate, overnight index swap (OIS) rate and LIBOR curves; 3.1.1 Risk-free rate and OIS discounting; 3.1.2 Splitting of LIBOR curves; 3.2 Counterparty credit risk; 3.2.1 Counterparty default and recovery; 3.2.2 Credit loss and credit exposures; 3.3 Credit value adjustment; 3.3.1 Introducing CVA; 3.3.2 CDS spread, bond spread and credit default probability; 3.3.3 Constructing a default probability curve; 3.3.4 Correlation of market risk exposure and credit default
  • 3.3.5 CSA and credit terms affecting CVA calculations3.3.6 Bilateral CVA: DVA; 3.3.7 DVA: the dilemma; 3.4 CVA examples; 3.4.1 An interest rate swap; 3.4.2 An FX forward example; 4 FVA Primer: Derivatives Pricing with Funding; 4.1 The funding market; 4.1.1 Financial institutions and the balance sheet; 4.1.2 Dealer's business model and funding of derivatives; 4.2 Collateralization, value of money and differential discounting; 4.2.1 Credit spreads, funding spreads and notations; 4.2.2 The value of collateral; 4.2.3 The value of money: lending to the counterparty
  • 4.2.4 The value of money: borrowing money4.2.5 The value of money: summary; 4.2.6 The equilibrium borrowing/lending rate; 4.2.7 Collateral asset, repo market and rehypothecation; 4.2.8 Collateral currency and cross currency market; 4.2.9 Cross currency swap market; 4.2.10 Multi-collateral choices and choice options; 4.2.11 Multi-funding curves, differential discounting and collateral valuation adjustment; 4.2.12 Collateral operations and replication of collateral values; 4.2.13 Derivative valuations with collateral; 4.2.14 Standardized CSA (SCSA) and tri-party optimization
  • 4.2.15 Example of fully collateralized derivatives
Dimensions
unknown
Edition
1st ed. 2016.
Extent
1 online resource (228 p.)
Form of item
online
Isbn
9781137435842
Media category
computer
Media type code
  • c
Other control number
10.1057/9781137435842
Specific material designation
remote
System control number
  • (CKB)3710000000541835
  • (EBL)4331206
  • (SSID)ssj0001592374
  • (PQKBManifestationID)16288879
  • (PQKBTitleCode)TC0001592374
  • (PQKBWorkID)12400032
  • (PQKB)10095342
  • (DE-He213)978-1-137-43584-2
  • (MiAaPQ)EBC4331206
  • (EXLCZ)993710000000541835

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