Читать книгу The xVA Challenge - Gregory Jon - Страница 6

The first edition of this book focused on counterparty credit risk and was written in 2009, during the aftermath of the global financial crisis. Since then, the subject matter has necessarily broadened to give more attention to aspects such as funding, collateral and capital. It has been less than three years since the second edition was finished and again, the subject has changed dramatically. Indeed, as before, this is much more than a new edition because most of the content has been rewritten and expanded with several new chapters. I hope this will be a comprehensive reference for the subject we now generally refer to as xVA.

As with the last edition, I have saved space by putting mathematical appendices together with the accompanying spreadsheets on my personal website at www.cvacentral. com. Since many do not study this material in depth, this has proved to be a reasonable compromise for most readers.

I have also made use of a number of survey results and I am grateful to Solum Financial and Deloitte for allowing me to reproduce these results. I am also grateful to IBM and Markit who have provided calculation examples. These will all be mentioned in the text.

Finally, I would like to thank the following people for feedback on this and earlier editions of the book: Manuel Ballester, Ronnie Barnes, Raymond Cheng, Vladimir Cheremisin, Michael Clayton, Daniel Dickler, Wei-Ming Feng, Julia Fernald, Piero Foscari, Teddy Fredaigues, Dimitrios Giannoulis, Arthur Guerin, Kale Kakhiani, Henry Kwon, David Mengle, Ivan Pomarico, Hans-Werner Pfaff, Erik van Raaij, Guilherme Sanches, Neil Schofield, Florent Serre, Masum Shaikh, Ana Sousa, Richard Stratford, Carlos Sterling, Hidetoshi Tanimura, Todd Tauzer, Nick Vause, Frederic Vrins and Valter Yoshida.

Jon Gregory

May 2015