Essays about: "Funding Value Adjustment"

Found 4 essays containing the words Funding Value Adjustment.

  1. 1. FVA: Funding Value Adjustment

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Medya Siadat; [2016]
    Keywords : ;

    Abstract : .... READ MORE

  3. 2. Debit Value Adjustment & Funding Value Adjustment

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Pierre Serti; Tom William; [2016]
    Keywords : ;

    Abstract : .... READ MORE

  4. 3. DVA in the Structured Notes Issuance Portfolio

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sebastian Sohl; [2016]
    Keywords : xVA; DVA; Structured Notes;

    Abstract : This thesis focus on the issuer credit risk in financial derivatives held by a structured notes desk. Post-crisis derivative valuation includes valuation adjustments for credit, collateral and funding risk, commonly referred to as xVA. READ MORE

  5. 4. Incorporating Funding Value Adjustment in Valuation of Derivatives - A case study

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Per Johansson; Simon Josefsson; [2014-07-02]
    Keywords : Funding Value Adjustment; Fair Value; Fair Value Adjustments; Exit Price; Valuation; Over-The-Counter; Derivatives; Funding Cost; Funding Curve.;

    Abstract : The derivatives market is a large, global market that fills an important function in the finan-cial system (Eklund et al., 2012). Before the global financial crisis in 2008, factors such as capital cost, funding cost and counterparty risk were hardly considered when pricing deriva-tives. READ MORE