Calculation of KVA and MVA

Osamu Tsuchiya

Chapter 10 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 169-196 from World Scientific Publishing Co. Pte. Ltd.

Abstract: As has already been stated in previous chapters, calculation of KVA (and MVA) is computationally intense when the internal model (or even the Standardized Approach under Basel III) is used. In this section, we will discuss the computational burden. KVA is given by…

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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