Valuation adjustments (XVAs)

WHAT IS THIS? The XVAs are a family of adjustments that can be made to the price of a derivatives trade, reflecting counterparty risk (CVA), own-default risk (DVA), funding (FVA), capital (KVA) and margin (MVA). Their theoretical roots and practical implementation are still debated, but pragmatism also matters: banks that ignore XVAs are at risk of mispricing a trade; banks that include them are at risk of never winning a trade.

XVA solution of the year: Murex

With predictions of when the Fed might cut rates constantly changing, it has been a roller-coaster year for markets. This has encouraged financial institutions to push out new innovations to their clients. Having reliable support with XVAs helps them…

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