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Appendixes

In: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis

Author

Listed:
  • Osamu Tsuchiya

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

Suggested Citation

  • Osamu Tsuchiya, 2019. "Appendixes," World Scientific Book Chapters, in: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis, chapter 13, pages 233-286, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813272743_0013
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    Keywords

    XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G01 - Financial Economics - - General - - - Financial Crises

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