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Probability, Uncertainty and Quantitative Risk
Articles
Table 3 XVA values for the large portfolio
From:
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
XVA
$Value
CVA
0
242 M
FVA
\(_{0}^{(0)}\)
126 M
FVA
0
62 M
KVA
0
275 M
FTDCVA
194 M
FTDDVA
166 M
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