Landmarks in XVA

From Counterparty Risk to Funding Costs and Capital

Edited by Chris Kenyon and Andrew Green

Discipline:  Quantitative Analysis, Hedge Funds

No of pages: 688

First published:

ISBN: 9781782722939

The new challenges of FVA, DVA and CVA means that trading behaviour and the nature of trades need to be adapted to these valuation adjustments. Editors Chris Kenyon and Andrew Green gather together classic papers on these controversial pricing adjustments, from the seminal work by Hull and White on FVA to the latest developments with MVA and pricing, empowering you to become familiar with the evolving debate. These perennial pieces are placed beside newer work on regulation and accounting, providing access to the most traditional and the most cutting-edge work in this area in one volume.

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