Download This PaperTowards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital
39 Pages Posted: 9 Feb 2014 Last revised: 21 Dec 2017
Date Written: June 13, 2013
Abstract
We sketch a framework to theoretically identify the components of the value that a bank should attach to a deal and how to charge them to the relevant departments and/or to the final counterparty (client) by an internal transfer pricing system.
Keywords: CVA, DVA, FVA, Pricing, Valuation, Funding Spread, Transfer Pricing
JEL Classification: G12, G13
Suggested Citation: Suggested Citation
Castagna, Antonio, Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital (June 13, 2013). Available at SSRN: https://ssrn.com/abstract=2392772 or http://dx.doi.org/10.2139/ssrn.2392772
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