XVA is a term referring to how we adjust pricing on derivatives to take into account things such as credit exposure and financing costs. In this pathway, Steven will take us through each of the value adjustments, CVA, DVA FVA and KVA.
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4 videos • 49 minutes
In his previous video, Steven discussed several different valuation adjustments which are taken into account to adjust the value of derivative trades to consider exposures such as credit, funding, and capital. In this video, he focuses on the first of these, credit, and the relevant adjustments; CVA and DVA.
Steven Marshall • 13:37
In the next video of this pathway on XVA, Steven Marshall discusses Funding Valuation Adjustment, or FVA. FVA looks at the cost of financing related to derivative transactions. Steven discusses the need for FVA and then the various developments that have taken place since the financial crisis.
Steven Marshall • 13:06