MVA Transfer Pricing¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Microstructure |
| Other domains | Execution Costs |
| Methods | — |
| Facets | — |
| Authors | Wujiang Lou |
| Published | 2015-12-23 |
| Source | arXiv Quantitative Finance History |
| Identifiers | arxiv:1512.07337 |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
The study incorporates initial-margin funding costs into all-in OTC derivatives pricing and examines how MVA may transfer those costs between counterparties. (abstract:S1, abstract:S2, abstract:S3, abstract:S4)
Main author claims¶
- The authors treat both exogenous and endogenously approximated initial margin, defining MVA from the discounted expected margin profile in the first case and deriving a PDE-based fair value decomposable into CVA, FVA, and MVA in the second. (
abstract:S1,abstract:S2) - The authors claim that MVA can be transferred on uncollateralized customer trades through an extension of liability-side pricing, while covered trades require a bid-ask spread to transfer funding costs. (
abstract:S3,abstract:S4) - The authors connect the framework to ISDA SIMM equity, commodity, and FX risks and use swap and equity-portfolio examples to propose MVA as a plausible contributor to recent CME-LCH basis widening. (
abstract:S5,abstract:S6,abstract:S7)
Data, method, or discussion scope¶
The abstract covers exogenous and endogenous IM pricing, liability-side transfer, a SIMM calibration link, and numerical examples for swaps and equity portfolios. (abstract:S1, abstract:S2, abstract:S3, abstract:S4, abstract:S5, abstract:S6, abstract:S7)
Main limitations¶
The CME-LCH basis explanation is framed as a plausible attribution rather than a causal identification, and numerical examples alone do not establish robustness across products or live portfolios. (abstract:S6, abstract:S7)
Relationships¶
- None recorded.