Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs (Q4689899)
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scientific article; zbMATH DE number 6959379
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| English | Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs |
scientific article; zbMATH DE number 6959379 |
Statements
Nonlinearity Valuation Adjustment (English)
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22 October 2018
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nonlinear valuation
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nonlinear valuation adjustment NVA
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credit risk
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credit valuation adjustment CVA
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funding costs
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funding valuation adjustment FVA
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consistent valuation
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collateral
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0.845865786075592
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0.8256204724311829
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0.8214284181594849
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0.8178341388702393
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0.8060040473937988
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