Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Brigo:2016:10.1007/978-3-319-33446-2_8,
author = {Brigo, D and Fries, C and Hull, J and Scherer, M and Sommer, D and Werner, R},
doi = {10.1007/978-3-319-33446-2_8},
pages = {147--168},
publisher = {Springer},
title = {FVA and electricity bill valuation adjustment - much of a difference?},
url = {http://dx.doi.org/10.1007/978-3-319-33446-2_8},
year = {2016}
}

RIS format (EndNote, RefMan)

TY  - CPAPER
AB - Pricing counterparty credit risk, although being in the focus for almosta decade by now, is far from being resolved. It is highly controversial if any valuationadjustment besides the basic CVA should be taken into account, and ifso, for what purpose. Even today, the handling of CVA, DVA, FVA, ... differsbetween the regulatory, the accounting, and the economic point of view. Eventually,if an agreement is reached that CVA has to be taken into account, it remainsunclear if CVA can be modeled linearly, or if nonlinear models need tobe resorted to. Finally, industry practice and implementation differ in several aspects.Hence, a unified theory and treatment of FVA and alike is not yet tangible.The conference Challenges in Derivatives Markets, held at Technische Universitat¨Munchen in March/April 2015, featured a panel discussion with panelists repre- ¨senting different point of views: John Hull, who argues that FVA might not exist at all; in contrast to Christian Fries, who sees the need of all relevant costs to becovered within valuation but not within adjustments. Damiano Brigo emphasizesthe nonlinearity of (most) valuation adjustments and is concerned about overlappingadjustments and double-counting. Finally, Daniel Sommer puts the exit pricein the focus. The following (mildly edited) record of the panel discussion repeats themain arguments of the discussants – ultimately culminating in the awareness that ifeverybody charges an electricity bill valuation adjustment, it has to become part ofany quoted price.
AU - Brigo,D
AU - Fries,C
AU - Hull,J
AU - Scherer,M
AU - Sommer,D
AU - Werner,R
DO - 10.1007/978-3-319-33446-2_8
EP - 168
PB - Springer
PY - 2016///
SN - 2194-1009
SP - 147
TI - FVA and electricity bill valuation adjustment - much of a difference?
UR - http://dx.doi.org/10.1007/978-3-319-33446-2_8
UR - http://hdl.handle.net/10044/1/41630
ER -