DVA and FVA — Price and Value for Accountants, Regulators and Others

Osamu Tsuchiya

Chapter 3 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 39-50 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In the previous chapter, valuation adjustment arises from the counterparty default risk of the clients of the bank (Credit Valuation Adjustment or CVA). Whereas the valuation adjustment from the default risk of the clients is necessary, we also need that from the default risk of the bank as a matter of course. The adjustment which corresponds to the default risk of the bank is called the Debit Valuation Adjustment (DVA)…

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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