Valuation FVA XVA Financial Derivatives

Why trading portfolios need IPV? We have explained earlier that the all positions in Trading books uses market data to generate generate NPV (value) and Risks of derivatives and cash products. FO or Middle office team (or both) determine the source and update daily at the end of the day. The Valuation Control Group(VCG) whose …

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Fair Value Adjustment(FVA)- Bid Offer Reserve Bid offer reserve is the exit cost of the portfolio. It is the cost in terms of bid offer spread to be paid when we want to close the positions. The banks value the trades at mid price [(bid +offer)/2]. But when the desk has to close the long(buy) …

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