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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Brigo, D.; Fries, C.; Hull, J.; Scherer, M.; Sommer, D.; Werner, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
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...    »
 
Stichworte:
Counterparty credit risk, Credit valuation adjustment, Debit valuation adjustment, Wrong way risk 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Springer Verlag 
Jahr:
2016 
Seitenangaben Beitrag:
147-168 
Reviewed:
ja 
Sprache:
en 
Print-ISSN:
978-3-319-33445-5 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Peer reviewed:
Ja 
commissioned:
not commissioned 
Technology:
Nein 
Interdisziplinarität:
Nein 
Leitbild:
Ethics & Sustainability:
Nein