CVA and FVA with liability-side pricing

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

abacus accounting


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 an

To continue reading...

You need to sign in to use this feature. If you don’t have a 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 indvidual account here: