Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
From MaRDI portal
Publication:2296097
DOI10.1186/s41546-017-0019-2zbMath1432.91130WikidataQ59603326 ScholiaQ59603326MaRDI QIDQ2296097
Claudio Albanese, Stéphane Crépey, Simone Caenazzo
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s41546-017-0019-2
counterparty risk; cost of capital (KVA); credit valuation adjustment (CVA); cost of funding initial margin (MVA); cost of funding variation margin (FVA)
91G40: Credit risk