XVA metrics for CCP optimization

DOI10.1515/strm-2017-0034zbMath1459.91211OpenAlexW3009758487MaRDI QIDQ2173275

Claudio Albanese, Yannick Armenti, Stéphane Crépey

Publication date: 22 April 2020

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2017-0034

zbMATH Keywords

cost of capitalinitial margincentral counterpartycost of funding initial margindefault fund

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10) Credit risk (91G40)

Related Items (5)

Systemic risk models for disjoint and overlapping groups with equilibrium strategies ⋮ Derivatives risks as costs in a one-period network model ⋮ Wealth Transfers, Indifference Pricing, and XVA Compression Schemes ⋮ Positive XVAs ⋮ XVA analysis from the balance sheet

Cites Work

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• PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
• Central Clearing Valuation Adjustment
• RESTRUCTURING COUNTERPARTY CREDIT RISK
• A General Formula for Valuing Defaultable Securities

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