XVA in the Wake of the Financial Crisis

John Carpenter
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John Carpenter: Bank of America

A chapter in Commercial Banking Risk Management, 2017, pp 75-100 from Palgrave Macmillan

Abstract: Abstract In the wake of the financial crisis of 2007–2008, it has become standard in practice to introduce and implement a serious of valuation adjustments for counterparty credit (CVA), one’s own credit (DVA), funding costs (FVA), regulatory capital (KVA), and initial margin (MVA). This chapter explains the major insights of these valuation adjustments.

Keywords: Credit Risk; Credit Default Swap; Default Risk; Market Risk; Default Probability (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-59442-6_4

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DOI: 10.1057/978-1-137-59442-6_4

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