Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 17-42
of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk … adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral …. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove …
