Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
DOI10.1186/S41546-017-0019-2zbMATH Open1432.91130OpenAlexW2663035201WikidataQ59603326 ScholiaQ59603326MaRDI QIDQ2296097FDOQ2296097
Authors: Claudio Albanese, Simone Caenazzo, Stéphane Crépey 
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s41546-017-0019-2
Recommendations
counterparty riskcost of capital (KVA)credit valuation adjustment (CVA)cost of funding initial margin (MVA)cost of funding variation margin (FVA)
Cites Work
- Credit risk: Modelling, valuation and hedging
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- A General Formula for Valuing Defaultable Securities
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Counterparty risk and funding: immersion and beyond
- Bilateral counterparty risk under funding constraints. II: CVA
- Central clearing valuation adjustment
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Option pricing, interest rates and risk management
- Restructuring counterparty credit risk
- XVA analysis from the balance sheet
- Coherent global market simulations and securitization measures for counterparty credit risk
Cited In (15)
- A unified approach to xVA with CSA discounting and initial margin
- Arbitrage-free pricing of derivatives in nonlinear market models
- XVA analysis from the balance sheet
- When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
- Behavioral value adjustments
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Derivatives risks as costs in a one-period network model
- Counterparty risk and funding: immersion and beyond
- Wealth transfers, indifference pricing, and XVA compression schemes
- Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- XVA principles, nested Monte Carlo strategies, and GPU optimizations
- Central clearing valuation adjustment
- Positive XVAs
- Quantitative reverse stress testing, bottom up
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