  We take the holistic approach of computing an OTC claim value that
incorporates credit and funding liquidity risks and their interplays, instead
of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting
nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show
that for the benchmark vulnerable claim there is an analytical solution, and we
express it in terms of the Black-Scholes formula with dividends. This allows
for a detailed valuation analysis, stress testing and risk analysis via
sensitivities.
