Theoretical Framework behind FVA and its Computation

Osamu Tsuchiya

Chapter 4 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 51-76 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In the previous chapter, Debit-Valuation Adjustment (DVA) and Funding Valuation Adjustment (FVA) were introduced. FVA is sometimes divided into Funding Cost Adjustment (FCA), which has negative value and Funding Benefit Adjustment (FBA), which has positive value. DVA and FVA are closely related to each other. Actually FBA and DVA are mirror images of the same thing. Hereafter, we refer to both FVA and DVA jointly as FVA…

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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