XVA

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.

Pathway

Banking

Proficient

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4 videos • 49 minutes

  • Introduction to XVA

    In the introductory video to this XVA series, Steven defines a wide range of acronyms. Some of which include: XVA, CVA, and DVA.

    Steven Marshall11:25

  • Introduction to CVA

    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 Marshall13:37

  • Introduction to FVA

    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 Marshall13:06

  • Introduction to KVA

    In this next video within the XVA pathway, Steven Marshall discusses the cost of capital in derivative trades, the KVA. He will first explain the emergence of KVA after Basel III and then discuss how to calculate KVA.

    Steven Marshall11:02

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