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Paper detail

Funded Bilateral Valuation Adjustment

We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA). That set up can also be viewed by an investor as an effective way to restructure the counterparty risk arising from an uncollateralized transaction with a counterparty, mitigating or even avoiding entirely the additional capital charge introduced by the new Basel III framework.

preprint2012arXivOpen access
Lorenzo GiadaClaudio Nordio
q-fin.RMq-fin.PR
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Lorenzo GiadaClaudio Nordio

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