The impossibility of DVA replication

The impossibility of DVA replication

abacus accounting

The debit valuation adjustment (DVA) that mark-to-market accounting rules insist should be included in derivatives’ prices in order to capture a bank’s own default risk is controversial because the dealer records paper profits – that could even be distributed as staff remuneration – when its creditworthiness deteriorates. Some argue that the DVA is not merely an accounting adjustment, but instead is monetisable through replication strategies. US bank Goldman Sachs, for example, has been quite

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: