摘要翻译：
在本文中，我们描述了如何将融资和保证金成本纳入一个风险中性的交易对手信用风险定价框架。我们考虑现实的环境，并在我们的模型中包括ISDA文件建议的共同市场做法，而不假设对利润率程序和关闭净额结算规则的限制性约束。特别是，我们考虑到不对称的抵押品和融资利率，以及外生流动性政策和对冲策略。再抵押、流动性风险和平仓金额评估问题也包括在内。我们定义了一个全面的定价框架，使我们能够更早地得出融资或对手风险的结果。一些相关的例子说明了从一般框架出发，而不是诉诸临时假设，导出关于折现曲线的已知事实所需的非琐碎设置。我们的主要结果是一个双边抵押交易对手估值调整定价方程式，它允许在以一致的方式考虑信贷和债务估值调整以及保证金和融资成本的情况下为交易定价。我们发现该方程具有递归形式，使得引入加法基金估值调整变得困难。然而，我们可以将定价方程转化为一组迭代关系，并可以通过标准的最小二乘蒙特卡罗技术求解。
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英文标题：
《Funding Valuation Adjustment: a consistent framework including CVA, DVA,
  collateral,netting rules and re-hypothecation》
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作者：
Andrea Pallavicini, Daniele Perini and Damiano Brigo
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and we include in our models the common market practices suggested by the ISDA documentation without assuming restrictive constraints on margining procedures and close-out netting rules. In particular, we allow for asymmetric collateral and funding rates, and exogenous liquidity policies and hedging strategies. Re-hypothecation liquidity risk and close-out amount evaluation issues are also covered. We define a comprehensive pricing framework which allows us to derive earlier results on funding or counterparty risk. Some relevant examples illustrate the non trivial settings needed to derive known facts about discounting curves by starting from a general framework and without resorting to ad hoc hypotheses. Our main result is a bilateral collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debt valuation adjustments along with margining and funding costs in a coherent way. We find that the equation has a recursive form, making the introduction of an additive funding valuation adjustment difficult. Yet, we can cast the pricing equation into a set of iterative relationships which can be solved by means of standard least-square Monte Carlo techniques.
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PDF链接：
https://arxiv.org/pdf/1112.1521