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Quantitative Finance · Begrippenlijst

Wat is Debit valuation adjustment?

Definition 18.3 Rates, Credit, XVA and Risk · Hoofdstuk 18 — Credit and Debit Valuation Adjustments

The debit valuation adjustment (DVA) is the same quantity seen from the counterparty: the market value of the gain to the bank from its own default, when it would stop paying what it owes, computed from the discounted negative exposure and the bank’s own hazard curve and recovery.

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