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XVA

- Credit, Funding and Capital Valuation Adjustments

About XVA

This new book seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines.

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  • Language:
  • English
  • ISBN:
  • 9781118556788
  • Binding:
  • Hardback
  • Pages:
  • 544
  • Published:
  • November 5, 2015
  • Dimensions:
  • 256x180x35 mm.
  • Weight:
  • 1038 g.
Delivery: 2-4 weeks
Expected delivery: January 26, 2025
Extended return policy to January 30, 2025
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Description of XVA

This new book seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines.

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