FVA and A New Capital Model - Slides
13 Pages Posted: 27 Jun 2013
There are 2 versions of this paper
Date Written: June 20, 2013
Abstract
These slides describe a capital allocation model based on Expected Loss (EL) rather than the market standard Probability of Default (PD). Under the model, a derivative can be funded with a mixture of debt and equity for the CVA-DVA adjusted price with no need for a Funding Value Adjustment (FVA).
The paper summarized in these slides can be found here: http://ssrn.com/abstract=2268062
Keywords: CVA, Credit Value Adjustment, DVA, Debt Value Adjustment, Funding, FVA, Funding Value Adjustment, Capital, Funding, PD, Probability of Default, EL, Expected Loss, Derivative, Pricing, Modigliani and Miller
Suggested Citation: Suggested Citation