方法证据记录
Debit Valuation Adjustment
Debit Valuation Adjustment (DVA) represents the value of your own credit risk to counterparties. DVA measures the gain in derivative value if you default on your obligations—a benefit for your shareholders because creditors receive less than the full derivative value. DVA is controversial but now mandatory under IFRS 13 for fair value accounting.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Debit Valuation Adjustment (DVA)
分类方法记录 · regression-model / quantitative-finance
- Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. · URL
- Burgard, C., & Kjaer, M. (2011). Partial differential equation representations of derivatives with counterparty risk and funding costs. Journal of Credit Risk, 7(3), 1-19. · DOI 10.21314/jcr.2011.131
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