Читать книгу XVA - Green Andrew - Страница 17

Different agents have different perspectives and drivers and the valuations they use will reflect this. Derivative pricing reflects manufacturing costs and these costs include CVA, FVA, MVA, KVA and TVA. Representatives of companies, including banks, are required to operate on a going concern basis and to factor in the management of all visible risk factors into valuations. Realism is an important element of trading valuations that have to reflect the actual cost of manufacturing derivatives. Derivative valuation theory is not invalid but has been shown to be out of date and hence needs to be updated to reflect market reality. This book aims to provide the required update.