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Quantitative Finance · Begrippenlijst

Wat is Funding cost and benefit adjustments?

Ook bekend als: funding cost adjustment · funding benefit adjustment

Definition 19.2 Rates, Credit, XVA and Risk · Hoofdstuk 19 — Funding, Margin and Capital Adjustments

The funding cost adjustment is FCA=∫0Tsf(t) DEE(t) QC(t)QB(t) dt\mathrm{FCA} = \int_0^Ts_f(t)\,\mathrm{DEE}(t)\,Q_C(t)Q_B(t)\,dt, the funding spread sfs_f paid on the discounted expected positive exposure while both parties survive; the funding benefit adjustment FBA is the same integral on the discounted expected negative exposure, at the rate the bank saves.

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