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XVA

XVA is a term referring to how we adjust pricing on derivatives to take into account things such as credit exposure and financing costs. In this pathway, Steven will take us through each of the value adjustments, CVA, DVA FVA and KVA.

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2 videos • 25 minutes

  • Introduction to XVA (1/4)

    In the introductory video to this XVA series, Steven defines a wide range of acronyms. Some of which include: XVA, CVA, and DVA.

    Steven Marshall11:25

  • Introduction to XVA (2/4): CVA

    In his previous video, Steven discussed several different valuation adjustments which are taken into account to adjust the value of derivative trades to consider exposures such as credit, funding, and capital. In this video, he focuses on the first of these, credit, and the relevant adjustments; CVA and DVA.

    Steven Marshall13:37

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