A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis

Osamu Tsuchiya
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Osamu Tsuchiya: Simplex Inc., Japan

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The 2008 financial crisis shook the financial derivatives market to its core, revealing a failure to fully price the cost of doing business then. As a response to this, and to cope with regulatory demands for massively increased capital and other measures with funding cost, the pre-2008 concept of Credit Valuation Adjustment (CVA) has evolved into the far more complex hybrid Cross Valuation Adjustment (XVA).

Keywords: XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital (search for similar items in EconPapers)
JEL-codes: C02 G01 (search for similar items in EconPapers)
Date: 2019
ISBN: 9789813272736
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Chapters in this book:

Ch 1 Underpinnings of Traditional Derivatives Pricing and Implications of Current Environment , pp 3-14

Osamu Tsuchiya

Ch 2 CVA and its Relation to Traditional Bond Pricing , pp 17-38

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Ch 3 DVA and FVA — Price and Value for Accountants, Regulators and Others , pp 39-50

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Ch 4 Theoretical Framework behind FVA and its Computation , pp 51-76

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Ch 5 Ingredients of the Modern Yield Curve and Overlaps with XVA , pp 77-97

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Ch 6 Margin Valuation Adjustment (MVA) , pp 99-109

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Ch 7 KVA and Other Adjustments and Costs , pp 111-123

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Ch 8 Typical Balance Sheet and Trade Relations of Banks and Implications for XVA , pp 127-145

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Ch 9 Framework for Computing XVA , pp 147-167

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Ch 10 Calculation of KVA and MVA , pp 169-196

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Ch 11 CVA Hedging, Default Arrangements and Implications for XVA Modeling , pp 199-207

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Ch 12 Managing XVA in Practice , pp 209-232

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Ch 13 Appendixes , pp 233-286

Osamu Tsuchiya

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