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Theoretical Framework behind FVA and its Computation

In: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis

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  • Osamu Tsuchiya

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…

Suggested Citation

  • Osamu Tsuchiya, 2019. "Theoretical Framework behind FVA and its Computation," World Scientific Book Chapters, in: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis, chapter 4, pages 51-76, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813272743_0004
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    More about this item

    Keywords

    XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G01 - Financial Economics - - General - - - Financial Crises

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