全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences

Full-Text   Cite this paper   Add to My Lib

Abstract:

Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore the rate of return on capital that shareholders require must be paid from profits. Profits are taxable and losses provide tax credits. Here we extend the semi-replication approach of Burgard and Kjaer (2013) and the capital formalism (KVA) of Green, Kenyon, and Dennis (2014) to cover credit risk warehousing and tax, formalized as double-semi-replication and TVA (Tax Valuation Adjustment) to enable quantification.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133