Thorough, accessible coverage of the key issues in XVA XVA Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry.

全面、无障碍地涵盖XVA的关键问题XVA信贷、融资和资本估值调整为专家和非专家提供了信贷、借方、融资、资本和保证金估值调整（CVA、DVA、FVA、KVA和MVA）的最新综合处理，包括建模框架以及更广泛的IT工程挑战。本书由一位行业专家撰写，引导您了解XVA的复杂性，详细讨论了估值调整的最新进展，包括监管资本和中央对手方清算所产生的保证金要求以及双边初始保证金的影响。该书提出了一个统一的方法来模拟估值调整，包括信贷风险，资金和监管效果。使用蒙特卡罗技术的XVA模型的实际实现也是本书的核心。您还将全面了解如何准确测量XVA敏感性、XVA带来的技术挑战、在CPU和GPU平台上使用网格计算、数据管理，以及巴塞尔协议III下引入的监管框架如何对金融业产生重大影响。