{"paper":{"title":"MVA: Initial Margin Valuation Adjustment by Replication and Regression","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.GN","q-fin.RM"],"primary_cat":"q-fin.PR","authors_text":"Andrew Green, Chris Kenyon","submitted_at":"2014-05-02T20:49:38Z","abstract_excerpt":"Initial margin requirements are becoming an increasingly common feature of derivative markets. However, while the valuation of derivatives under collateralisation (Piterbarg 2010, Piterbarg2012), under counterparty risk with unsecured funding costs (FVA) (Burgard2011, Burgard2011, Burgard2013) and in the presence of regulatory capital (KVA) (Green2014) are established through valuation adjustments, hitherto initial margin has not been considered. This paper further extends the semi-replication framework of (Burgard2013a), itself later extended by (Green2014), to cover the cost of initial margi"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1405.0508","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}