英文标题：
《An indifference approach to the cost of capital constraints: KVA and
beyond》
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作者：
Damiano Brigo, Marco Francischello, Andrea Pallavicini
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最新提交年份：
2017
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英文摘要：
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the following we try to delineate a possible way to assess the impact of capital constraints in the valuation of a deal. We resort to an optimisation stemming from an indifference pricing approach, and we study both the linear problem from the point of view of the whole bank and the non-linear problem given by the viewpoint of shareholders. We also consider the case where one optimises the median rather than the mean statistics of the profit and loss distribution.
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中文摘要：
资本要求的加强促使银行和贸易商考虑在场外交易中向客户收取所谓的资本估值调整（KVA）。这大致相当于在要求交易台的利润要求之前向客户收取费用。在下文中，我们试图描述一种可能的方法，以评估资本约束对交易估值的影响。我们求助于一种源自无差异定价方法的优化，我们从整个银行的角度研究了线性问题，也从股东的角度研究了非线性问题。我们还考虑了优化损益分布的中值而非平均统计数据的情况。
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分类信息：

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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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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