Appendixes

Osamu Tsuchiya

Chapter 13 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 233-286 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Appendix A: Sample AppendixCredit Risk Model in XVAInterest Rate and Fx Models in XVAHull–White modelSwaption volatility in the Hull–White modelTwo-factor Hull–White modelCorrelation structure of two-factor Hull–White modelBetter approximationInterest rate skew in XVACross-currency Hull–White ModelQuanto adjustmentAppendix B: A Brief Outline of Regulatory Capital Charges for Financial InstitutionsThe Latest Prescribed Regulatory FrameworkLeverage ratioOutput floorOperational Risk CapitalCredit Risk, Market Risk and the Various Components of CapitalCounterparty RiskCCR element (part of credit risk)CVA element (part of market risk)Market Risk CapitalGeneral market risk RWADefault risk charge for non-securitizationSecuritization frameworkRelevant calculations

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813272743_0013 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813272743_0013 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789813272743_0013

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().