英文标题：
《MVA Transfer Pricing》
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作者：
Wujiang Lou
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最新提交年份：
2016
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英文摘要：
This article prices OTC derivatives with either an exogenously determined initial margin profile or endogenously approximated initial margin. In the former case, margin valuation adjustment (MVA) is defined as the liability-side discounted expected margin profile, while in the latter, an extended partial differential equation is derived and solved for an all-in fair value, decomposable into coherent CVA, FVA and MVA. For uncollateralized customer trades, MVA can be transferred to the customer via an extension of the liability-side pricing theory. For BCBS-IOSCO covered OTC derivatives, a market maker has to charge financial counterparties a bid-ask spread to transfer its funding cost. An IM multiplier is applied to calibrate to external IM models to allow portfolio incremental pricing. In particular, a link to ISDA SIMM for equity, commodity and fx risks is established through the PDE with its vega and curvature IM components captured fully. Numerical examples are given for swaps and equity portfolios and offer a plausible attribution of recent CME-LCH basis spread widening to elevated MVA accompanying dealers\' hedging of customer flows.
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中文摘要：
本文以外部确定的初始保证金曲线或内部近似的初始保证金为OTC衍生品定价。在前一种情况下，保证金估值调整（MVA）被定义为负债方贴现的预期保证金情况，而在后一种情况下，推导并求解了一个扩展偏微分方程，用于综合公允价值，可分解为一致的CVA、FVA和MVA。对于无抵押的客户交易，MVA可以通过扩展责任方定价理论转移给客户。对于BCBS-IOSCO覆盖的场外衍生品，做市商必须向金融交易对手收取买卖价差，以转移其融资成本。IM乘数用于校准外部IM模型，以允许投资组合增量定价。特别是，通过PDE建立了与ISDA SIMM的股权、商品和外汇风险链接，并完全捕获了其vega和IM组件。给出了掉期和股票投资组合的数字示例，并提供了近期CME-LCH基差扩大到MVA升高的合理归因，伴随着交易商对客户流的对冲。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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