仓储信贷（CVA）风险、资本（KVA）和税收（TVA）后果
Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences
摘要：
信用风险可能是出于选择，或由于对冲可能性有限而被储存起来的。信用风险仓储增加了资本要求并留下了开放风险。未平仓风险必须以实物计量而不是风险中性测度来定价，并隐含利润和损失。此外，股东要求的资本利润率必须从利润中支付。利润应纳税，亏损提供税收抵免。在这里，我们扩展了Burgard和Kjaer（2013）的半复制方法以及Green，Kenyon和Dennis（2014）的资本形式主义（KVA），以涵盖信用风险仓储和税收，形式化为双半复制和TVA（税收估价调整）以实现量化。
英文摘要：
Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore the rate of return on capital that shareholders require must be paid from profits. Profits are taxable and losses provide tax credits. Here we extend the semi-replication approach of Burgard and Kjaer (2013) and the capital formalism (KVA) of Green, Kenyon, and Dennis (2014) to cover credit risk warehousing and tax, formalized as double-semi-replication and TVA (Tax Valuation Adjustment) to enable quantification.
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