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 …

This review provides formal definitions of the terms credit value adjustment (CVA) and debt value adjustment (DVA …. This review discusses the use of collateral for risk mitigation and its effects on CVA. Regulators have argued that …

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 …

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

improvement in liquidity and trading activity. …

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 …