| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23680 |
| 来源ID | Working Paper 23680 |
| Funding Value Adjustments | |
| Leif Andersen; Darrell Duffie; Yang Song | |
| 发表日期 | 2017-08-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case examples include interest-rate swap FVAs and violations of covered interest parity. Contrary to current valuation practice, FVAs are not themselves components of the market values of the positions being financed. Current dealer practice does, however, align incentives between trading desks and shareholders. We also establish a pecking order for preferred asset financing strategies and provide a new interpretation of the standard debit value adjustment (DVA). |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w23680 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581353 |
| 推荐引用方式 GB/T 7714 | Leif Andersen,Darrell Duffie,Yang Song. Funding Value Adjustments. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23680.pdf（642KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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