第13章13债务价值调整我不想告诉你在投保了多少保险只能说.pdfVIP

/ . * # $ 7 9 3 3 13 De alue Adjustment I don’t want to l you how much insurance I carry with Prudential. All I can say is: When I go, they go! Jack Benny (1894 1974) In the last chapter, we considered the pricing of counterparty risk via credit value adjustment (CVA). One of the assumptions made in deriving the CVA formula was that the institution themselves was risk- and could not default. This may have seemed like a fairly innocu- ous and straightforward assumption. Indeed, it is consistent with the “going concern” accountancy concept, which requires financial statements to be based on the assumption that a business will remain in existence for an indefinite period. However, institutions are allowed by international accountancy standards to consider their own default in the valuation of liabilities. S e credit exposure has a liability component (the negative exposure as defined in Section 8.2.7), this can be luded in the pricing of counterparty risk, creating what is often known as the de alue adjustment (DVA) compo- nent. DVA is a double-edged sword. On the one hand, it will resolve some theoretical prob- lems with CVA and create a world where risky counterparties can more easily trade with one another. On the other hand, the nature of DVA and its implications and potential unintended consequences may trouble some people. DVA is controversial. Whilst some practitioners argue in favour of its use, others have criticise