Questions tagged [fva]

Can anybody, in the most intuitive way possible explain why there is an FVA DVA overlap, specifically why DVA and FBA are similar? Note my mathematical ability is only to bachelor degree level, so go easy on me.

Piterbarg in Funding beyond discounting: collateral agreements and derivatives pricing using Black Scholes derives the value of an option that is not perfectly collateralised as an FVA adjustment to the value of a perfectly collateralised option: $$…

Consider a perfectly collateralised swap. Numerous sources discuss how FVA arises from banks having to fund collateral at a spread to the CSA rate. One example here: The asymmetric nature of this cost of collateral adds additional costs to…

Usually a standard FVA example starts with an uncollateralized netting set that is hedged via a collateralized netting set, and because we have costs/benefits from the collateral, we say the FVA originates from the uncollateralized netting set. The…