The xVA Challenge

Jon Gregory 지음

Wiley 2015년 09월 24일 출간

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A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management. Market practice around counterparty credit risk and credit and debit value adjustment (CVA and DVA) The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirements The impact of accounting requirements such as IFRS 13 Recent thinking on the applications of funding, collateral, and capital adjustments (FVA, ColVA and KVA) The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which hav

목차

List of Spreadsheets xix List of Appendices xxi Acknowledgements xxiii About the Author xxv 1 Introduction 1 2 The Global Financial Crisis 3 2.1 Pre-crisis 3 2.2 The crisis 5 2.3 Regulatory reform 8 2.4 Backlash and criticisms 8 2.5 A new world 10 3 The OTC Derivatives Market 11 3.1 The derivatives market 11 3.1.1 Derivatives 11 3.1.2 Exchange traded and OTC derivatives 12 3.1.3 Market size 12 3.1.4 Market participants 14 3.1.5 Credit derivatives 16 3.1.6 The dangers of derivatives 17 3.1.7 The Lehman experience 17 3.2 Derivative risks 18 3.2.1 Market risk 18 3.2.2 Credit risk 19 3.2.3 Operational and legal risk 19 3.2.4 Liquidity risk 20 3.2.5 Integration of risk types 20 3.2.6 Counterparty risk 20 3.3 Risk management of derivatives 20 3.3.1 Value-at-risk 20 3.3.2 Models 23 3.3.3 Correlation and dependency 23 4 Counterparty Risk 25 4.1 Background 25 4.1.1 Counterparty risk versus lending risk 25 4.1.2 Settlement and pre-settlement risk 26 4.1.3 Mitigating counterparty risk 28 4.1.4 Exposure and product type 29 4.1.5 Setups 31 4.2 Components 32 4.2.1 Mark-to-market and replacement cost 33 4.2.2 Credit exposure 33 4.2.3 Default probability, credit migration and credit spreads 34 4.2.4 Recovery and loss given default 35 4.3 Control and quantification 36 4.3.1 Credit limits 36 4.3.2 Credit value adjustment 38 4.3.3 CVA and credit limits 38 4.3.4 What does CVA represent? 39 4.3.5 Hedging counterparty risk 41 4.3.6 The CVA desk 42 4.4 Beyond CVA 43 4.4.1 Overview 43 4.4.2 Economic costs of an OTC derivative 43 4.4.3 xVA terms 44 4.5 Summary 46 5 Netting, Close

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저자(글) Jon Gregory

JON GREGORY 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 (CQR). Jon has a PhD from Cambridge University.