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Quantitative Finance · Glossário

O que é XVA?

Definition 18.11 Rates, Credit, XVA and Risk · Capítulo 18 — Credit and Debit Valuation Adjustments

XVA is the family of valuation adjustments that turn a derivative’s riskless value into the price a bank charges or reports: CVA and DVA for default, and the funding, margin and capital adjustments of chapter 19.

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