FRM Glossary · Part II · Credit Risk

Debit Valuation Adjustment (DVA)

The mirror of CVA — the value of one's own default risk embedded in a derivative liability.

In more detail

DVA reflects the benefit to a bank of being able to walk away from a derivative if the bank itself defaults. Accounting standards (IFRS 13, ASC 820) generally require CVA to be recognised but DVA to be excluded from P&L to avoid 'own credit' earnings volatility.