The XVA of Financial Derivatives: CVA, DVA and FVA Explained [electronic resource] /
Lu, Dongsheng.author.
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.
Description based upon print version of record.
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
Includes bibliographical references and index.
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.
Risk management.
Banks and banking.
Financial engineering.
Investment banking.
Securities.
Risk Management.
Banking.
Financial Engineering.
Investments and Securities.