2 Ways to Define/Calculate "FVA"? - Same or Different? (Simple …
Aug 19, 2022 · I've got a very simple question on 2 different ways of defining or calculating the FVA of an uncollateralized swap. One definition I've often seen is that the FVA is the …
Simple example of a funding valuation adjustment?
Sep 9, 2017 · To discuss Funding Valuation Adjustments (FVA) it is first necessary to describe a situation in which such an adjustment would be needed. In here we will take as an example …
What is the difference between forward volatility swap and FVA?
Jul 13, 2018 · What is the difference between forward volatility swap and FVA? Ask Question Asked 7 years, 5 months ago Modified 4 years, 11 months ago
FVA for a perfectly collateralised trade - Quantitative Finance Stack ...
Sep 13, 2023 · Consider a perfectly collateralised swap. Numerous sources discuss how FVA arises from banks having to fund collateral at a spread to the CSA rate. One example here: …
Is Piterbarg's FVA equation generally applicable
Oct 18, 2023 · My understanding is that the idea of applying a FVA, which reflects the cost of hedging any general derivative on a cleared market, is applicable to any derivative that is not …
Funding Valuation Adjustment (FVA) - understanding issues
The mathematics is quite nice actually, and you find that the doubly survival - contingent FVA term + the bank first to default term collapse to a symmetric bank defaults first term. Again, if get …
FVA and DVA overlap (intuitive explanation) - Quantitative Finance ...
Jul 21, 2022 · Can anybody, in the most intuitive way possible explain why there is an FVA DVA overlap, specifically why DVA and FBA are similar? Note my mathematical ability is only to …
What is meant by the funding cost of a derivative?
Aug 7, 2023 · FVA attempts to capture the cost of funding uncollateralised OTC derivatives. ... Similarly, a funding cost arises for the bank when a derivative has a positive market value. The …
Newest 'fva' Questions - Quantitative Finance Stack Exchange
FVA and DVA overlap (intuitive explanation) Can anybody, in the most intuitive way possible explain why there is an FVA DVA overlap, specifically why DVA and FBA are similar? Note my …
interest rate swap - IRS with early termination provision ...
Jul 17, 2024 · The reason being that the swap is guaranteed to exist only for a certain amount of time hence it typically lowers the calculation of CVA/FVA charges. From the IRS perspective …