The xVA Challenge

The xVA Challenge
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Описание книги

Discover how Mike Butler managed 75 rental properties while working full-time as a police detective–before he hired any part-time help For many investors, landlording is a pain, but not for those who use Mike Butler's Landlording on Autopilot system. It's a simple, proven method for managing rental properties in your spare time–without the headaches. Mike Butler developed this system while he worked full time as a police officer. Before long, he was buying and managing dozens of properties–and consistently bringing in more than 100% of his rents. Includes free customizable, downloadable forms! Butler shares all the vital techniques of autopilot landlording: * Screening and finding great tenants you can trust * Training tenants to do your landlording work for you * Increasing your cash flow with a simple push-button management system * Using little-known tax breaks available to full-time or part-time landlords * Easily complying with landlording regulations and legal stuff you might not think of * Identifying the most profitable types of properties * Marketing and advertising your properties at little or no cost * Utilizing powerful, ready-to-use landlording forms * Getting rid of bad tenants quickly, safely, and cheaply when buying properties * Using creative tactics to consistently bring in more than 100% of the rent Once you've learned Mike Butler's system, you'll make more money in less time with less effort. Today, Mike Butler is retired from the police force and enjoys more than $1 million a year from his rental properties. Using the techniques and strategies of Landlording on Autopilot will help you achieve your dreams.

Оглавление

Gregory Jon. The xVA Challenge

Lists of Spreadsheets

Lists of Appendices

Acknowledgements

About the Author

1. Introduction

2. The Global Financial Crisis

2.1 Pre-crisis

2.2 The crisis

2.3 Regulatory reform

2.4 Backlash and criticisms

2.5 A new world

3. The OTC Derivatives Market

3.1 The derivatives market

3.2 Derivative risks

3.3 Risk management of derivatives

4. Counterparty Risk

4.1 Background

4.2 Components

4.3 Control and quantification

4.4 Beyond CVA

4.5 Summary

5. Netting, Close-out and Related Aspects

5.1 Introduction

5.2 Default, netting and close-out

5.3 Multilateral netting and trade compression

5.4 Termination features and resets

5.5 Summary

6. Collateral

6.1 Introduction

6.2 Collateral terms

6.3 Mechanics of collateral

6.4 Collateral and funding

6.5 Collateral usage

6.6 The risks of collateral

6.7 Regulatory collateral requirements

6.8 Converting counterparty risk into funding liquidity risk

6.9 Summary

7. Credit Exposure and Funding

7.1 Credit exposure

7.2 Metrics for exposure

7.3 Factors driving exposure

7.4 The impact of netting and collateral on exposure

7.5 Funding, rehypothecation and segregation

7.6 Summary

8. Capital Requirements and Regulation

8.1 Background to Credit Risk Capital

8.2 Current Exposure Method (CEM)

8.3 The Internal Model Method (IMM)

8.4 Standardised Approach for Counterparty Credit Risk (SA-CCR)

8.5 Comparison of EAD Methods

8.6 Basel III

8.7 CVA Capital Charge

8.8 Other Important Regulatory Requirements

8.9 Summary

9. Counterparty Risk Intermediation

9.1 Introduction

9.2 SPVs, DPCs, CDPCs and monolines147

9.3 Central counterparties

9.4 Summary

10. Quantifying Credit Exposure

10.1 Introduction

10.2 Methods for quantifying credit exposure

10.3 Monte Carlo methodology

10.4 Real-world or risk-neutral

10.5 Model choice

10.6 Examples

10.7 Allocating exposure

10.8 Summary

11. Exposure and the Impact of Collateral

11.1 Overview

11.2 Margin period of risk

11.3 Numerical examples

11.4 Initial margin

11.5 Summary

12. Default Probabilities, Credit Spreads and Funding Costs

12.1 Overview

12.2 Default probability

12.3 Credit curve mapping

12.4 Generic curve construction

12.5 Funding curves and capital costs

12.6 Summary

13. Discounting and Collateral

13.1 Overview

13.2 Discounting

13.3 Beyond perfect collateralisation

13.4 Collateral valuation adjustments

13.5 Summary

14. Credit and Debt Value Adjustments

14.1 Overview

14.2 Credit value adjustment

14.3 Impact of credit assumptions

14.4 CVA allocation and pricing

14.5 CVA with collateral

14.6 Debt value adjustment

14.7 Summary

15. Funding Value Adjustment

15.1 Funding and derivatives

15.2 Funding value adjustment

15.3 The practical use of FVA

15.4 Summary

16. Margin and Capital Value Adjustments

16.1 Overview

16.2 Margin value adjustment

16.3 Capital value adjustment

16.4 Summary

17. Wrong-way Risk

17.1 Overview

17.2 Overview of wrong-way risk

17.3 Quantification of wrong-way risk

17.4 Wrong-way risk modelling approaches

17.5 Summary

18. xVA Management

18.1 Introduction

18.2 The role of an xVA desk

18.3 Hedging xVA

18.4 xVA systems

18.5 Summary

19. xVA Optimisation

19.1 Overview

19.2 Market practice

19.3 Examples

19.4 Costs and the balance of xVA terms

19.5 xVA optimisation

19.6 Summary

20. The Future

Glossary

References

Index

WILEY END USER LICENSE AGREEMENT

Отрывок из книги

To Sylvia, Mimsie, Stella, Cara, Eliza-Joy, Stevie, Peach, Jim, Ginnie, George and Christy

The spreadsheets can be downloaded freely from Jon Gregory's website, www.cvacentral.com, under the counterparty risk section. New examples may be added over time.

.....

It was clear that these now substantial funding costs should be quantified alongside CVA. The cost of funding was named FVA (funding value adjustment) which had the useful effect of consuming the strange DVA accounting requirements (from a bank’s point of view at least). Not surprisingly, the increase in funding costs also naturally led banks to tighten up collateral requirements. However, this created a knock-on effect for typical end-users of derivatives that historically have not been able or willing to enter into collateral agreement for liquidity and operational reasons. Some sovereign entities considered posting collateral, not only to avoid the otherwise large counterparty risk and funding costs levied upon them, but also to avoid the issue that banks hedging their counterparty risk may buy CDS protection on them, driving their credit spread wider and potentially causing borrowing problems. Some such entities posted their own bonds as collateral, solving the funding problems if not the counterparty risk ones. It also became clear that there was hidden value in collateral agreements that should be considered using collateral value adjustment (ColVA). Finally, the dramatic increase in capital requirements led to the consideration of capital value adjustment (KVA) and impending requirements to post initial margin to margin value adjustment (MVA).

Regulation aimed at reducing counterparty risk and therefore CVA was becoming better understood and managed. However, this in turn was driving the increased importance of other components such as DVA, FVA, ColVA, KVA and MVA. CVA, once an only child, had been joined by a twin (DVA) and numerous other relatives. The xVA family was growing and, bizarrely, regulation aimed at making OTC derivatives simpler and safer was driving this growth.

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