XVA: Credit, Funding and Capital Valuation Adjustments

Praise for XVA

"In this book Andrew Green draws from his almost 15 years as a quantitative analyst focusing on XVA. Starting with CVA/DVA and moving on to FVA and finishing with KVA, Green covers the past, the present and the future of XVA. It is a must read for everyone interested in post crisis valuation of financial derivatives."
—MATS KJAER, Head of Quant XVA Analytics, Bloomberg LP, Risk Magazine Quant of the Year 2015

"The quantification of XVA has become a major problem and a cornerstone of OTC derivative valuation in recent years. This book is a comprehensive guide to XVA modelling, calculation and IT implementation from an industry expert with first-hand knowledge of the practical issues involved. The reader is taken though the underlying mathematics related to XVA calculations with reference to the impact of important aspects such as close-out, netting, collateral and regulatory requirements. A thorough discussion of XVA modelling approaches is also given, together with practical implementation details and a discussion of important numerical methods such as American Monte Carlo and AAD and the application of hardware optimisation such as the use of GPUs. The treatment of this highly complex subject is comprehensive, thorough and mathematically detailed but also pragmatic. This book deserves to become a standard text for anyone with an interest in XVA modelling and implementation."
—JON GREGORY, Author of The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital and Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives

Thorough, Accessible Coverage of the Key Issues in XVA

XVA: Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of credit, debit, funding, capital and margin valuation adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this practical book discusses in detail the latest developments in valuation adjustments, including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin.

If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge, XVA: Credit, Funding and Capital Valuation Adjustments is your toolbox for taking control of this critical topic.