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Risk premia and optimal liquidation of credit derivatives

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Volume of derivative trading, enterprise value, and the return on assets

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Pricing a collateralized derivative trade with a funding value adjustment

Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 17-42

The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting … adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral … price of a collateralized derivative. The fact that the two models coincide is also verified by numerical implementation of …

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