MVA transfer pricing

Wujiang Lou extends liability-side pricing theory to initial margin


With the September 2016 rollout of margin requirements for non-centrally cleared over-the-counter derivatives (BCBSIosco 2015) fast approaching, derivatives pricing with initial margin (IM) remains a significant challenge as IM - essentially a capital measure of potential future exposure - forces historical scenarios into a pricing model.


At a fixed future time, for example, the short rate would evolve and accumulate filtration under both the risk-neutral and the

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:

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 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: