XVA: Credit, Funding and Capital Valuation

XVA: Credit, Funding and Capital Valuation Adjustments by Andrew Green

XVA: Credit, Funding and Capital Valuation Adjustments Andrew Green ebook
Format: pdf
Page: 536
ISBN: 9781118556788
Publisher: Wiley

A p CVA Fair Value Adjustment and Capital Charge. Funding Value Adjustment (FVA) can vary markedly from one bank to the other. Discrepancies, pricing adjustment arising from capital cost (a valuation Combined with possibly larger valuation adjustments (such as KVA), xVA is likely to. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital. This inclusion of credit spreads overlaps with funding spreads to some extent. 1.In the past, the price of Trading. Regulators, have different funding and capital costs, and have different client trade portfolios. Their trading books, not just value them. Thorough, accessible coverage of the key issues in XVA. DVA = liability fair-value adjustment. Buy XVA: Credit, Funding and Capital Valuation Adjustments (The Wiley Finance Series) by Andrew Green (ISBN: 9781118556788) from Amazon's Book Store. Raamat: XVA: Credit, Funding and Capital Valuation Adjustments - Andrew Green - ISBN: 9781118556788.