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DVA and FVA — Price and Value for Accountants, Regulators and Others

Osamu Tsuchiya

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Abstract

In the previous chapter, valuation adjustment arises from the counterparty default risk of the clients of the bank (Credit Valuation Adjustment or CVA). Whereas the valuation adjustment from the default risk of the clients is necessary, we also need that from the default risk of the bank as a matter of course. The adjustment which corresponds to the default risk of the bank is called the Debit Valuation Adjustment (DVA)…

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In the previous chapter, valuation adjustment arises from the counterparty default risk of the clients of the bank (Credit Valuation Adjustment or CVA). Whereas the valuation adjustment from the default risk of the clients is necessary, we also need that from the default risk of the bank as a matter of course. The adjustment which corresponds to the default risk of the bank is called the Debit Valuation Adjustment (DVA)…

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Available abstract

In the previous chapter, valuation adjustment arises from the counterparty default risk of the clients of the bank (Credit Valuation Adjustment or CVA). Whereas the valuation adjustment from the default risk of the clients is necessary, we also need that from the default risk of the bank as a matter of course. The adjustment which corresponds to the default risk of the bank is called the Debit Valuation Adjustment (DVA)…

Key concepts: Value (mathematics), Economics, Monetary economics, Mathematics, Statistics

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