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Understanding xVA , CVA , FVA , KVA , MVA , COL-VA 

Harshvardhan's Research
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Просмотров 9 тыс.
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**CORRECTION : at @10:06 when we discount the year 3 cashflow , the cashflow of 100 has to be discounted by 1 year and not 3 years as depicted in the video so value for year 3 will be 7 + 104.39 = 111.39 . Kindly take a note of this
An X-Value Adjustment (XVA, xVA) is a collective term referring to a number of different “valuation adjustments” that banks must make when assessing the value of derivative contracts that they have entered into.[

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6 сен 2024

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Комментарии : 28   
@1_percent_upgrade
@1_percent_upgrade 5 месяцев назад
Clear explanation, numerical examples are rare to find, yours is good
@surendrabarsode8959
@surendrabarsode8959 11 месяцев назад
Very well and clearly explained!! There are hardly any such videos on this topic offering this sort of explanation of the concepts with a concrete example.
@financeeinstein
@financeeinstein 11 месяцев назад
Thanks please share .
@LorenzoMussetti
@LorenzoMussetti 2 года назад
Why do we discount the expected loss at minute 14? Expected loss was calculated from expected exposure, which was already a present value so I'm not sure why we need to discount again.
@financeeinstein
@financeeinstein 2 года назад
Expected exposure is a point estimate... imagine this ur computing exposure on future days...I.e exposure in 1st year ...2nd year and 3rd year. But these are point estimates of future...so.today if I want to buy the bond I need to compute PV as of today. Hope this helps!.
@GASTRONOMYbySDV
@GASTRONOMYbySDV 10 месяцев назад
Indeed a very detailed explaination of XVa and other derivative risk
@cesara7478
@cesara7478 2 года назад
Awesome video!
@financeeinstein
@financeeinstein 2 года назад
Thanks.
@vijethht
@vijethht 9 месяцев назад
Thank you for explaining in details. Can you also share the excel file.
@akheeram9906
@akheeram9906 2 года назад
Fantastic stuff
@financeeinstein
@financeeinstein 2 года назад
😊 thanks
@nandlalvishwakarma4994
@nandlalvishwakarma4994 2 года назад
Very well covered
@ashokdada9375
@ashokdada9375 Месяц назад
Very Good explanation. Can I get this excel and slides?
@financeeinstein
@financeeinstein Месяц назад
@@ashokdada9375 thanks unfortunately we had to format our data folders but m looking for backups . If I get them will post the link here . Thanks
@asvlogs2288
@asvlogs2288 Год назад
pretty well explained, it just one thing i am not able to grab is the difference between probability of default and expected loss
@financeeinstein
@financeeinstein Год назад
PD is dependent on historical performance. Say you never defaulted in your payments , your probability of default will be 1% or zero% . But suppose your financials are poor now and now there is a chance for you to default. This is mainly gauged from credit rating migration. Now your probability of default will be say 5% ..so that is PD. Now you may default on full amount or partial amount I.e LGD...loss given default... Ecl = PD x LGD
@saileedhotre9318
@saileedhotre9318 Год назад
Great coverage!
@ManishVerma-nb3bp
@ManishVerma-nb3bp 2 года назад
Nice video!! Could you please upload lecture on CDS pricing please.
@financeeinstein
@financeeinstein 2 года назад
Can you clarify in what context. ? You mean to say how CDS are priced ?
@asvlogs2288
@asvlogs2288 Год назад
@@financeeinstein yes
@sonalvishwakarma
@sonalvishwakarma 8 месяцев назад
amazing video
@stonecastle858
@stonecastle858 2 года назад
Shouldn't year 3 be 104.39?
@financeeinstein
@financeeinstein 2 года назад
If you calculate using the same steps I mentioned you will get same numbers...ignore the rounding part. Do subscribe and like this video.
@stonecastle858
@stonecastle858 2 года назад
@@financeeinstein I think you have used n=4 instead of n=1. The value should be between the other two
@financeeinstein
@financeeinstein 2 года назад
@@stonecastle858 no the calculation is correct we are computing PV. You can email your query in info.questft@gmail.com. You can compute the same using PV function in excel.
@stonecastle858
@stonecastle858 2 года назад
@@financeeinstein I humbly request that you check your numbers. It isn't that the formula is wrong, it's that I think you've used the wrong values in the input. Look at the PVs for 107. They should increase. Yet yours for year 3 is lower than for year 2.
@financeeinstein
@financeeinstein 2 года назад
@@stonecastle858 You are right my friend , thanks for pointing it out . am making the correction in the youtube description. I appreciate your detailed view of the video and pointing out that mistake.
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