Chris Dennis

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

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KVA: Capital Valuation Adjustment

Risk, December 2014
Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014
Andrew David Green, Chris Kenyon and Chris Dennis
Scotiabank, MUFG Securities EMEA plc and Lloyds Banking Group
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Citation 37

Abstract:

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Capital, Pricing, Regulation, Basel II, Basel III, Derivative Valuation, xVA, CVA, DVA, FVA, FCA, KVA