FVA and A New Capital Model - Slides

13 Pages Posted: 27 Jun 2013

Multiple version iconThere 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

Hannah, Lincoln, FVA and A New Capital Model - Slides (June 20, 2013). Available at SSRN: https://ssrn.com/abstract=2282647 or http://dx.doi.org/10.2139/ssrn.2282647

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