xVA (CVA, DVA, FVA, ColVA, KVA, MVA): An Introduction
1. Context
In this video from FRM Part II curriculum, we take a look at various valuation adjustments that come under this umbrella of adjustments called “xVA”. Specifically, these would include CVA (Credit Valuation Adjustment or Credit Value Adjustment), DVA (Debt Value Adjustment), FVA (Funding Valuation Adjustment), ColVA (Collateral Valuation Adjustment), KVA (Capital Valuation Adjustment) and MVA (Margin Valuation Adjustment). These adjustments apply on the “base valuation” to give us the “actual valuation” for a derivatives position(s). This video is included in the FRM Part 2 preparation course (https://www.finRGB.com/courses/frm-part-2-online-course).
| Area | Credit Risk |
| Reading | Counterparty Risk and Beyond |
| Reference | Jon Gregory, Chapter 3, Counterparty Risk and Beyond, The xVA Challenge, Counterparty Credit Risk, Funding, Collateral and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020). |