Capital Valuation Adjustment and Funding Valuation Adjustment
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- Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey, 2016. "Capital Valuation Adjustment and Funding Valuation Adjustment," Papers 1603.03012, arXiv.org.
References listed on IDEAS
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Cited by:
- Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
- Claudio Albanese & Simone Caenazzo & Stéphane Crépey, 2018. "Capital and Funding," Working Papers hal-01764401, HAL.
- Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2017. "An indifference approach to the cost of capital constraints: KVA and beyond," Papers 1708.05319, arXiv.org.
- Yannick Armenti & Stéphane Crépey & Chao Zhou, 2018. "The Sustainable Black-Scholes Equations," Working Papers hal-01764397, HAL.
- Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
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Keywords
Market incompleteness; counterparty risk; cost of capital; cost of funding; variation margin; initial margin; FVA; MVA; KVA;All these keywords.
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