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.
Overview
Valuation Adjustments (or VAs) are adjustments taken when firms account for and price derivative transactions. In this video, Steven aims to demystify acronyms such as CVA, DVA and FVA, and what sort of things can impact the price of a derivative beyond the underlying mid-market valuation.
Key learning objectives:
Why do we need to apply valuation adjustments when pricing derivatives?
What are the main definitions of the main adjustments; CVA, DVA, FVA and KVA?
How have changes to financing, collateral agreements and capital rules led to the development of valuation adjustment?
Summary
Expert
Steven Marshall
Steven Marshall has over 25 years of experience in Global Markets and Investment Banking trading both interest and credit derivatives, most recently running the Global Business Resource Management Team at Nomura International. Steven is now the CEO and co-founder of RegRisk Technology where he provides innovative technology solutions to aid with regulatory compliance at financial firms and is currently providing XVA consultancy services via Tensilo Limited.
Related videos
Introduction to Interest Rate Swaps and Use Cases
David Leeming • 17:58
