Derivatives 18. XVAs: Credit Valuation Adjustment, Debit Valuation Adjustment, Funding Valuation Adjustment, Margin Valuation Adjustment, and Capital Valuation Adjustment (recorded on 20220926) From "John C. Hull, Options, Futures, and Other Derivatives, Pearson, 11th ed., 2021. " Slides for this Book: https://www-2.rotman.utoronto.ca/~hull/ofodslides/index.html 00:00 Preface 02:31 CVA 03:30 Netting 04:54 DVA 07:09 Valuing Bilaterally Cleared Derivatives Portfolios 10:22 The CVA Calculation 20:37 The DVA Calculation 22:48 FVA and MVA 30:14 FVA and MVA (continued) 32:39 The Cost 41:38 KVA 44:26 Calculation Issues