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Quantitative Finance · शब्दावली

Funding valuation adjustment क्या है?

Definition 19.1 Rates, Credit, XVA and Risk · अध्याय 19 — Funding, Margin and Capital Adjustments

The funding valuation adjustment (FVA) is the value of the cost of funding the collateral that uncollateralised trades and their hedges require, less the benefit of the collateral they release: FVA=FCA−FBA\mathrm{FVA} = \mathrm{FCA}-\mathrm{FBA}.

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