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A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis

Author

Listed:
  • Osamu Tsuchiya

    (Simplex Inc., Japan)

Abstract

The 2008 financial crisis shook the financial derivatives market to its core, revealing a failure to fully price the cost of doing business then. As a response to this, and to cope with regulatory demands for massively increased capital and other measures with funding cost, the pre-2008 concept of Credit Valuation Adjustment (CVA) has evolved into the far more complex hybrid Cross Valuation Adjustment (XVA).

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Suggested Citation

  • Osamu Tsuchiya, 2019. "A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 11057, August.
    • Handle: RePEc:wsi:wsbook:11057
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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/11057
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    Keywords

    XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G01 - Financial Economics - - General - - - Financial Crises

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