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?
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David Leeming • 17:58