  The strengthening of capital requirements has induced banks and traders to
consider charging a so called capital valuation adjustment (KVA) to the clients
in OTC transactions. This roughly corresponds to charge the clients ex-ante the
profit requirement that is asked to the trading desk. In the following we try
to delineate a possible way to assess the impact of capital constraints in the
valuation of a deal. We resort to an optimisation stemming from an indifference
pricing approach, and we study both the linear problem from the point of view
of the whole bank and the non-linear problem given by the viewpoint of
shareholders. We also consider the case where one optimises the median rather
than the mean statistics of the profit and loss distribution.
