商品描述
The definitive guide to counterparty risk and valuation adjustments, updated and revised
In the newly revised fifth edition of The xVA Challenge, veteran quantitative finance and counterparty credit risk expert Jon Gregory delivers an authoritative roadmap to navigating counterparty risk, funding, collateral, capital, and initial margin. He draws on his extensive experience as a former senior practitioner at Barclays Capital, BNP Paribas, and Citigroup to walk you through the most urgent challenges facing risk managers, traders, and derivatives practitioners right now.
The book explores the latest developments in xVA methodology and practice, guiding you through advanced compression tools for counterparty risk optimisation, detailed ColVA analysis with real-world examples, and the evolving mandate of xVA desks in volatile market conditions. It examines FRTB-CVA implementation challenges, current approaches to KVA and MVA in banking operations, and cutting-edge machine learning and algorithmic differentiation techniques.
You'll also find:
- Comprehensive coverage of all xVA components including CVA, DVA, FVA, ColVA, KVA, and MVA with practical implementation guidance
- Detailed analyses of FRTB-CVA regulatory requirements and SA-CVA model development for regulatory approval
- Advanced compression techniques and optimization strategies for managing counterparty risk and xVA exposure
- Real-world case studies and examples demonstrating ColVA applications and xVA desk operations during market volatility
- State-of-the-art computational methods including machine learning approaches and algorithmic differentiation for enhanced calculation efficiency
Perfect for risk managers, traders, derivatives practitioners, and financial regulators, The xVA Challenge, Fifth Edition, offers essential updates and practical tools that contemporary finance professionals need to effectively implement xVA frameworks, optimise counterparty risk management, and navigate an increasingly fraught regulatory landscape.
商品描述(中文翻譯)
對手風險與估值調整的權威指南，更新與修訂版
在新修訂的第五版The xVA Challenge中，資深量化金融與對手信用風險專家Jon Gregory提供了一個權威的路線圖，幫助讀者了解對手風險、資金、擔保品、資本和初始保證金。他利用自己在巴克萊資本（Barclays Capital）、法國巴黎銀行（BNP Paribas）和花旗集團（Citigroup）擔任高級從業者的豐富經驗，帶領您應對當前風險管理者、交易員和衍生品從業者面臨的最緊迫挑戰。
本書探討了xVA方法論和實踐的最新發展，指導您使用先進的壓縮工具來優化對手風險，詳細分析ColVA，並提供真實案例，以及在波動市場條件下xVA交易台的演變任務。它還檢視了FRTB-CVA實施挑戰、銀行業務中KVA和MVA的當前方法，以及尖端的機器學習和算法微分技術。
您還會發現：
- 全面涵蓋所有xVA組件，包括CVA、DVA、FVA、ColVA、KVA和MVA，並提供實用的實施指導
- 詳細分析FRTB-CVA監管要求及SA-CVA模型開發以獲得監管批准
- 先進的壓縮技術和優化策略，用於管理對手風險和xVA風險敞口
- 真實案例研究和示例，展示ColVA應用及xVA交易台在市場波動期間的運作
- 最先進的計算方法，包括機器學習方法和算法微分，以提高計算效率
本書The xVA Challenge, Fifth Edition非常適合風險管理者、交易員、衍生品從業者和金融監管機構，提供當代金融專業人士有效實施xVA框架、優化對手風險管理以及應對日益嚴峻的監管環境所需的必要更新和實用工具。
