We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of (Albanese and Crépey2017), whereby so-called contra-liabilities and cost of capital are charged by the bank to its clients, on top of the fair valuation of counterparty risk, in order to account for the incompleteness of this risk. The transfer of the residual reserve credit capital from shareholders to creditors at bank default results in a unilateral CVA, consistent with the regulatory requirement that capital should not diminish as an effect of the sole deterioration of the bank credit spread. Our funding cost for variation margin (FVA) is defined asymmetrically since there is no benefit in holding excess capital in the future. Capital is fungible as a source of funding for variation margin, causing a material FVA reduction. We introduce a specialist initial margin lending scheme that drastically reduces the funding cost for initial margin (MVA). Our capital valuation adjustment (KVA) is defined as a risk premium, i.e. the cost of remunerating shareholder capital at risk at some hurdle rate.

中文翻译：

---

双边投资组合的信贷，资金，保证金和资本估值调整

我们将XVA理论框架（Albanese andCrépey2017）应用于参与双边贸易投资组合的银行的具体设置，在此基础上，由银行向客户收取所谓的违约责任和资本成本评估交易对手风险，以解决此风险的不完整性。剩余违约准备金资本在银行违约时从股东向债权人的转移产生了单边CVA，这与监管要求资本不得因银行信贷利差的唯一恶化而减少的情况相一致。我们的变动保证金（FVA）的融资成本是非对称定义的，因为将来持有过多的资本没有任何好处。资本可以作为变动保证金的资金来源，从而导致FVA大幅减少。我们推出了一种专业的初始保证金贷款计划，可以大幅度降低初始保证金（MVA）的融资成本。我们的资本估值调整（KVA）被定义为风险溢价，即以一定的障碍率回报处于风险中的股东资本的成本。