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Calculation of KVA and MVA

In: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis

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  • Osamu Tsuchiya

Abstract

As has already been stated in previous chapters, calculation of KVA (and MVA) is computationally intense when the internal model (or even the Standardized Approach under Basel III) is used. In this section, we will discuss the computational burden. KVA is given by…

Suggested Citation

  • Osamu Tsuchiya, 2019. "Calculation of KVA and MVA," World Scientific Book Chapters, in: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis, chapter 10, pages 169-196, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813272743_0010
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    More about this item

    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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