英文标题：
《Coherent CVA and FVA with Liability Side Pricing of Derivatives》
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作者：
Wujiang Lou
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最新提交年份：
2015
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英文摘要：
This article presents FVA and CVA of a bilateral derivative in a coherent manner, based on recent developments in fair value accounting and ISDA standards. We argue that a derivative liability, after primary risk factors being hedged, resembles in economics an issued variable funding note, and should be priced at the market rate of the issuer\'s debt. For the purpose of determining the fair value, the party on the liability side is economically neutral to make a deposit to the other party, which earns his current debt rate and effectively provides funding and hedging for the party holding the derivative asset. The newly derived partial differential equation for an option discounts the derivative\'s receivable part with counterparty\'s curve and payable part with own financing curve. The price difference from the counterparty risk free price, or total counterparty risk adjustment, is precisely defined by discounting the product of the risk free price and the credit spread at the local liability curve. Subsequently the adjustment can be broken into a default risk component -- CVA and a funding component -- FVA, consistent with a simple note\'s fair value treatment and in accordance with the usual understanding of a bond\'s credit spread consisting of a CDS spread and a basis. As for FVA, we define a cost -- credit funding adjustment (CFA) and a benefit -- debit funding adjustment (DFA), in parallel to CVA and DVA and attributed to counterparty\'s and own funding basis. This resolves a number of outstanding FVA debate issues, such as double counting, violation of the law of one price, misuse of cash flow discounting, and controversial hedging of own default risk. It also allows an integrated implementation strategy and reuse of existing CVA infrastructure.
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中文摘要：
本文根据公允价值会计和ISDA准则的最新发展，以连贯的方式介绍双边衍生工具的FVA和CVA。我们认为，在对主要风险因素进行对冲后，衍生负债在经济学上类似于已发行的可变融资票据，并应按发行人债务的市场利率定价。为了确定公允价值，负债方的一方在经济上是中立的，可以向另一方存款，从而获得当前的债务利率，并有效地为持有衍生资产的一方提供资金和对冲。新推导的期权偏微分方程将衍生工具的应收部分与交易对手曲线贴现，应付部分与自有融资曲线贴现。与交易对手无风险价格或交易对手总风险调整的价格差，通过在本地负债曲线上贴现无风险价格和信用价差的乘积来精确定义。随后，调整可分为违约风险部分（CVA）和融资部分（FVA），与简单票据的公允价值处理一致，并符合对债券信用价差（包括CDS价差和基准）的通常理解。至于FVA，我们定义了成本——信贷融资调整（CFA）和收益——借方融资调整（DFA），与CVA和DVA平行，并归因于交易对手和自身的融资基矗这解决了一些尚未解决的FVA辩论问题，例如重复计算、违反一价法、滥用现金流贴现以及有争议的自身违约风险对冲。它还允许集成实施策略和重用现有CVA基础设施。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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