Handling model risk with XVAs

DOI10.3934/FMF.2024016MaRDI QIDQ7026549zbMATH OpenFDO

Authors Cyril Bénézet, Stéphane Crépey

Publication date 18 February 2025

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/FMF.2024016

zbMATH Keywords

calibrationcross valuation adjustments (XVAs)model riskpricing modelstransaction costs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Applying hedging strategies to estimate model risk and provision calculation
• Assessing financial model risk
• Financial modeling. A backward stochastic differential equations perspective
• Insurance-finance arbitrage
• Markets with transaction costs. Mathematical theory.
• Model risk of contingent claims
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Non asymptotic controls on a recursive superquantile approximation
• Positive XVAs
• Quantitative reverse stress testing, bottom up
• Robust XVA
• Robustness of the Black and Scholes Formula
• Sensitivity analysis of Wasserstein distributionally robust optimization problems
• Stochastic control and numerical methods in mathematical finance.
• XVA analysis from the balance sheet

Cited in

(1)

• The recalibration conundrum: hedging valuation adjustment for callable claims

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