CVA and FVA with liability-side pricing

Wujiang Lou calculates CVA and FVA abiding by the law of one price

abacus accounting

CLICK HERE TO VIEW THE PDF

Banks are moving ahead with funding valuation adjustment (FVA), although it is far from a settled issue among academic researchers, accountants, quants, traders and regulatory stakeholders. Indeed, the complexity surrounding FVA has only increased as discussions have deepened. KPMG (2013), for example, highlights nine propositions for understanding and implementing FVA. While discussion is dominated by the accounting definition of fair value, the International Swaps

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: