Capital Valuation Adjustment and Funding Valuation Adjustment

@article{Albanese2016CapitalVA,
  title={Capital Valuation Adjustment and Funding Valuation Adjustment},
  author={Claudio Albanese and Simone Caenazzo and S. Cr{\'e}pey},
  journal={Banking & Insurance eJournal},
  year={2016}
}
  • Claudio Albanese, Simone Caenazzo, S. Crépey
  • Published 2016
  • Economics
  • Banking & Insurance eJournal
  • In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and so on, and VA stands for valuation adjustment. This behaviour is at odds with economies where markets for contingent claims are complete, whereby trades clear at fair valuations and the costs for… CONTINUE READING
    11 Citations
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    KVA as a Transfer of Wealth
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    KVA is Incomplete
    Capital and Funding
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    An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond
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    XVA metrics for CCP optimization
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    The Sustainable Black-Scholes Equations
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    When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
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