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- W4232185074 abstract "This chapter discusses the specific funding cost of posting initial margin (IM). It also considers the potential benefit of receiving IM, in terms of reduction of credit value adjustment (CVA) and capital value adjustment (KVA). IM considerations are of growing importance due to two significant aspects of regulatory reform: the clearing mandate and bilateral margin rules. Margin value adjustment (MVA) is the cost of posting IM, which is to a large extent not related to cash flows and valuation, but rather to the future risk of the position. MVA is also simpler than funding value adjustment in that it is only a cost and there is no question over symmetry. KVA and MVA are not mutually exclusive. In a bilateral margin regime, posting IM will lead to MVA, but received IM may lead to capital relief and a lower KVA, although there may be a significant modelling challenge to being able to quantify this." @default.
- W4232185074 created "2022-05-12" @default.
- W4232185074 date "2020-05-04" @default.
- W4232185074 modified "2023-10-14" @default.
- W4232185074 title "<scp>MVA</scp>" @default.
- W4232185074 doi "https://doi.org/10.1002/9781119508991.ch20" @default.
- W4232185074 hasPublicationYear "2020" @default.
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