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xVA

Dr. Christoph Wagner

Inhalt:

In the aftermath of the last credit crisis, which started in 2007 with the near bankruptcy of Bear Stearns the pricing of financial products, in particular OTC derivatives has significantly changed to take into account counterparty credit risk and related aspects such as funding, collateral, capital, margining. These valuation adjustments (VA) are collectively called ”xVA” and form important building blocks of modern derivative pricing. We start by looking into some aspects of a derivative trade, various definitions of exposure metrics and how all these features impact a derivative pricing framework.

Zeit und Ort: Fr 8-10    HS B 251

für: Studierende des Bachelorstudiengangs Wirtschaftsmathematik und Masterstudiengang Finanz- und Versicherungsmathematik. Please apply by email: ckjwagner@gmx.net.

Vorkenntnisse: Financial Mathematics I+II, Econometrics, Probability Theory.

Leistungsnachweis: Gilt für Bachelorprüfung Wirtschaftsmathematik (WP7/WP12), Masterprüfung Finanz- und Versicherungsmathematik (P2.2).

Literatur:

  • Brigo, D., Morini, M., Pallavicini, A.: Counterparty Credit Risk, Collateral and Funding, Wiley Finance (2013)
  • Green, A.: xVA: Credit, Funding and Capital Valuation Adjustments , Wiley (2015)
  • Gregory, J.: The xVA Challenge, Wiley (2015)
  • Lichters, R., Stamm, R., Gallagher, D.: Modern derivative pricing and credit Exposure Analysis, Palgrave MacMillan (2015)