Beyond Valuation Adjustments: an Indifference Approach to Funding and Capital


In the recent years the rise of funding costs and the strengthening of capital requirements induced banks and traders to consider to charge a so called funding valuation adjustment (FVA) and capital valuation adjustment (KVA)... [ view full abstract ]


  1. Damiano Brigo (Imperial College London)
  2. Marco Francischello (Imperial College London)
  3. Andrea Pallavicini (Imperial College London and Banca IMI)

Topic Areas

Capital Requirements , CVA-XVA Models , Mean-Variance


WE-A-BU » Managing Conflicting Incentives (11:30 - Wednesday, 18th July, Burke Theater)

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