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Title:

FVA and electricity bill valuation adjustment – much of a difference?

Document type:
Zeitschriftenaufsatz
Author(s):
Brigo, D.; Fries, C.; Hull, J.; Scherer, M.; Sommer, D.; Werner, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
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
Fulltext / DOI:
doi:10.1007/978-3-319-33446-2_8
WWW:
http://link.springer.com/chapter/10.1007/978-3-319-33446-2_8
Print-ISSN:
978-3-319-33445-5
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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