Underpinnings of Traditional Derivatives Pricing and Implications of Current Environment

Osamu Tsuchiya

Chapter 1 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 3-14 from World Scientific Publishing Co. Pte. Ltd.

Abstract: XVA is valuation adjustments to the traditional (risk-free) derivative valuation. Therefore before discussing XVA, traditional derivatives valuation theory will be briefly explained in this chapter (Tan, 2012).

Keywords: XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital (search for similar items in EconPapers)
JEL-codes: C02 G01 (search for similar items in EconPapers)
Date: 2019
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