英文标题：
《Capital Valuation Adjustment and Funding Valuation Adjustment》
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作者：
Claudio Albanese, Simone Caenazzo (LaMME), St\\\'ephane Cr\\\'epey (LaMME)
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最新提交年份：
2016
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英文摘要：
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and so on, and VA stands for valuation adjustment. This behaviour is at odds with economies where markets for contingent claims are complete, whereby trades clear at fair valuations and the costs for capital and collateral are both irrelevant to investment decisions. In this paper, we set forth a mathematical formalism for derivative portfolio management in incomplete markets for banks. A particular emphasis is given to the problem of finding optimal strategies for retained earnings which ensure a sustainable dividend policy.
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中文摘要：
2007年全球金融危机爆发后，银行开始通过XVA指标在衍生品定价中反映资本和抵押品融资成本。这里的XVA是一个综合性的首字母缩写，其中X被一个字母代替，比如C代表信用，D代表债务，F代表资金，K代表资本等等，VA代表估值调整。这种行为与或有债权市场完整的经济体不一致，即以公平估值结算的交易，以及资本和抵押品的成本都与投资决策无关。在本文中，我们提出了一个数学形式主义的衍生工具投资组合管理在不完全市场的银行。特别强调了为留存收益寻找最佳策略的问题，以确保可持续的股利政策。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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