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Document type:
Zeitschriftenaufsatz 
Author(s):
Brigo, D.; Fries, C.; Hull, J.; Scherer, M.; Sommer, D.; Werner, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
FVA and electricity bill valuation adjustment – much of a difference? 
Abstract:
Pricing counterparty credit risk, although being in the focus for almost a decade by now, is far from being resolved. It is highly controversial if any valuation adjustment besides the basic CVA should be taken into account, and if so, for what purpose. Even today, the handling of CVA, DVA, FVA, … differs between the regulatory, the accounting, and the economic point of view. Eventually, if an agreement is reached that CVA has to be taken into account, it remains unclear if CVA can be modelled l...    »
 
Keywords:
Counterparty credit risk, Credit valuation adjustment, Debit valuation adjustment, Wrong way risk 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Springer Verlag 
Year:
2016 
Pages contribution:
147-168 
Reviewed:
ja 
Language:
en 
Print-ISSN:
978-3-319-33445-5 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein