Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Funding valuation adjustment?

Definition 19.1 Rates, Credit, XVA and Risk · Hoofdstuk 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}.

Lees in het hoofdstuk →