Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding … liquidation value of a product. It does, buy construction, exclude any funding cost. The second is a portfolio valuation which …

. Financial institutions are changing the way in which counterparty credit risk and funding risk are managed. We find ourselves in …

not of his own), but also with spread changes of both counterparties. We conclude that CVA and FVA (funding value … adjustment, which include both funding cost and benet) are the only components to be incorporated in the price of financial …

collateralization highly impact collateral management through the increase in haircuts and funding of good-quality collateral. As a … balance position and identifying the need in cash funding or transforming. We built our approach on three key standards: • In …). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …

corresponding numeraires are associated with different collateralization schemes. The simulation of a stochastic funding curve will … collateral schemes are simultaneously modeled, such as a CVA pricing engine …

, in accordance with the view of Hull and White (2012), the cost of funding a derivative is given by its CVA-DVA adjusted …In asset and derivative pricing, funding costs and capital costs are usually considered separately. A derivative will … separately. This paper presents a model that combines the two, using funding attributions from a capital model based on the bank …

Current CVA modeling framework has ignored the impact of stochastic recovery rate. Due to the possible negative … in the default time Gaussian Copula framework, we demonstrate this double impact on wrong-way risk in the CVA calculation …