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XVA in the Wake of the Financial Crisis

In: Commercial Banking Risk Management

Author

Listed:
  • John Carpenter

    (Bank of America)

Abstract

In the wake of the financial crisis of 2007–2008, it has become standard in practice to introduce and implement a serious of valuation adjustments for counterparty credit (CVA), one’s own credit (DVA), funding costs (FVA), regulatory capital (KVA), and initial margin (MVA). This chapter explains the major insights of these valuation adjustments.

Suggested Citation

  • John Carpenter, 2017. "XVA in the Wake of the Financial Crisis," Palgrave Macmillan Books, in: Weidong Tian (ed.), Commercial Banking Risk Management, pages 75-100, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-59442-6_4
    DOI: 10.1057/978-1-137-59442-6_4
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