XVA Analysis : Probabilistic, Risk Measure, and Machine Learning Issues (Hardcover)

Foreword List of Figures List of Tables List of Algorithms Preface Part INTRODUCTION?Chapter 0 The Sustainable Black-Scholes Equations?Part PRICING?Chapter I XVA Analysis From the Balance Sheet?Chapter II The Cost-of-Capital XVA Approach in Continuous Time?Chapter III Cash Flows Arithmetics?Part NUMERICAL METHODS?Chapter IV Generalities?Chapter V Pathwise CVA Regressions With Oversimulated Defaults?Chapter VI CVA Sensitivities, Hedging and Risk?Chapter VII Regressing Pathwise FVA, Economic Capital, and KVA?Part RISK?Chapter VIII Derivatives’ Risks as Costs in a One-Period Setup?Chapter IX Resolving a Clearing Member’s Default by Equilibrium?Chapter X Quantitative Reverse Stress Testing, Bottom Up?Part HVA IS WORTH A DETOUR?Chapter XI? Hedging Valuation Adjustment and Model Risk?Bibliography Index?Acknowledgments?Author Bio