Question

Explain why FVA can be calculated for a transaction without considering the portfolio to which the transaction belongs, but that the same is not true of MVA.

   Explain why FVA can be calculated for a transaction without considering the portfolio to which the transaction belongs, but that the same is not true of MVA.

Options, Futures, and Other Derivatives

Options, Futures, and Other Derivatives

John C. Hull 10th Edition

Chapter 9, Problem 8

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It represents the difference between the risk-free rate and the rate at which the counterparty can fund itself. When calculating FVA for a transaction, it is not necessary to consider the portfolio to which the transaction belongs because FVA is primarily Show more…

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Explain why FVA can be calculated for a transaction without considering the portfolio to which the transaction belongs, but that the same is not true of MVA.

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