Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)

22 Pages Posted: 11 Mar 2019

Date Written: February 19, 2019

Abstract

We extend the analysis we sketched in Castagna [5] and we provide an application of the framework we introduced to incrementally evaluate financial contracts within a financial institution’s balance sheet.

Keywords: KVA, Modigliani Miller, Raroc, Risk Adjsted Valuation, Incremental Valuation

JEL Classification: G12, G13

Suggested Citation

Castagna, Antonio, Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA) (February 19, 2019). Available at SSRN: https://ssrn.com/abstract=3337618 or http://dx.doi.org/10.2139/ssrn.3337618

Antonio Castagna (Contact Author)

Iason Ltd. ( email )

7th Floor, Hume House
Dublin, 4
Ireland

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