Credit, funding, margin, and capital valuation adjustments for bilateral portfolios (Q2296097)
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scientific article; zbMATH DE number 7168360
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| English | Credit, funding, margin, and capital valuation adjustments for bilateral portfolios |
scientific article; zbMATH DE number 7168360 |
Statements
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios (English)
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17 February 2020
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counterparty risk
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credit valuation adjustment (CVA)
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cost of funding variation margin (FVA)
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cost of funding initial margin (MVA)
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cost of capital (KVA)
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0.8181717991828918
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0.7918480634689331
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0.7898209691047668
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0.7880545258522034
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