Credit, funding, margin, and capital valuation adjustments for bilateral portfolios

DOI10.1186/S41546-017-0019-2MaRDI QIDQ2296097zbMATH OpenOpenAlexWikidataFDO

Authors Claudio Albanese, Simone Caenazzo, Stéphane Crépey

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-017-0019-2

zbMATH Keywords

cost of capital (KVA)cost of funding initial margin (MVA)cost of funding variation margin (FVA)counterparty riskcredit valuation adjustment (CVA)

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT
• Positive XVAs
• XVA analysis from the balance sheet
• When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
• Wealth transfers, indifference pricing, and XVA compression schemes

Cites work

• A General Formula for Valuing Defaultable Securities
• Bilateral counterparty risk under funding constraints. II: CVA
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Central clearing valuation adjustment
• Coherent global market simulations and securitization measures for counterparty credit risk
• Counterparty risk and funding: immersion and beyond
• Credit risk: Modelling, valuation and hedging
• Option pricing, interest rates and risk management
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Restructuring counterparty credit risk
• Valuation and hedging of contracts with funding costs and collateralization
• XVA analysis from the balance sheet

Cited in

(17)

• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Positive XVAs
• Arbitrage-free pricing of derivatives in nonlinear market models
• Counterparty risk and funding: immersion and beyond
• Behavioral value adjustments
• XVA principles, nested Monte Carlo strategies, and GPU optimizations
• XVA analysis from the balance sheet
• When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
• Wealth transfers, indifference pricing, and XVA compression schemes
• A unified approach to xVA with CSA discounting and initial margin
• Central clearing valuation adjustment
• Derivatives risks as costs in a one-period network model
• Quantitative reverse stress testing, bottom up
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
• Computing XVA for American basket derivatives by machine learning techniques
• Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem

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