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Unveiling FVA : Simple Cash Flows Analysis with Counterparty and Own Default for Funding Value Adjustment

In this paper, we study cash flows attached to derivative transactions including funding and collateral margin operations. Default risk of both counterparties are taken into account. We find that there is no double counting between FVA (FBA) and DVA. We give an algorithm to calculate FVA in the Least Squares Monte Carlo framework
Year of publication:
2016
Authors: Tsuchiya, Osamu
Other Persons: Tan, Chia Chiang (contributor)
Publisher: [2016]: [S.l.] : SSRN
freely available
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