Transcription of A Complete XVA Valuation Framework - iruizconsulting.com
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A Complete XVA Valuation Framework - iruizconsulting.com
A Complete XVA Valuation FrameworkWhy the Law of One Price is deadIgnacio Ruiz January 2015 Version a book of derivatives has become quite a complicated task, evenwhen those derivatives are simple in nature. This is the effect of the newtrading environment, highly dominated by credit, funding and capital this paper the author formally sets up a global Valuation Framework thataccounts for market risk (risk neutral price), credit risk (CV A), fundingrisk (FV A) of self-default potential hedging (LV A), collateral (CollV A) andmarket hedging positions (HV A), as well as tail risk (KV A). These pricingmetrics create a Framework in which we can comprehensively value tradingactivity. An immediate consequence of this is the emergence of a potentialdifference between fair value accounting and internal accounting.
A Complete XVA Valuation Framework Why the \Law of One Price" is dead Ignacio Ruiz January 2015 Version 1.2 Pricing a book of derivatives has become quite a complicated task, even
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