Capital and Funding

Abstract : Banking operations are being rewired around XVA metrics quantifying market incompleteness. This paper focuses on the cost of funding of variation margin and the cost of capital, i.e. FVA and KVA. The two metrics are intertwined since economic capital is itself a source of funding. Accurate valuations require simulations of capital and funding costs. Motivated by Basel Pillar II, Solvency II and IFRS 4 Phase II, we propose a principled approach to accounting regulatory treatments for FVA and KVA.
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https://hal.archives-ouvertes.fr/hal-01764401
Contributor : Stéphane Crépey <>
Submitted on : Wednesday, April 11, 2018 - 8:59:05 PM
Last modification on : Friday, July 20, 2018 - 11:12:59 AM

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  • HAL Id : hal-01764401, version 1

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Claudio Albanese, Simone Caenazzo, Stéphane Crépey. Capital and Funding. 2018. ⟨hal-01764401⟩

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