xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT

DOI10.1142/S0219024920500065MaRDI QIDQ5221482zbMATH OpenOpenAlexWikidataFDO

Authors Lixin Wu, Dawei Zhang

Publication date 26 March 2020

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024920500065

zbMATH Keywords

capital valuation adjustment (KVA)credit valuation adjustment (CVA)funding valuation adjustment (FVA)margin valuation adjustment (MVA)collateral valuation adjustment (ColVA)funding cost adjustment (FCA)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Recommendations

• scientific article; zbMATH DE number 1253581
• XVA analysis from the balance sheet
• VaR: exchange rate risk and jump risk
• XVA in a multi-currency setting with stochastic foreign exchange rates
• Arbitrage-free XVA
• scientific article; zbMATH DE number 2177302
• Risk management: Value at risk and beyond
• Multivariate value at risk and related topics
• Remarks on an arbitrage-free condition for XVA

Cites work

• Arbitrage-free XVA
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Bilateral credit valuation adjustment for large credit derivatives portfolios
• CVA and FVA to derivatives trades collateralized by cash
• Markov interest rate models
• Martingales and stochastic integrals in the theory of continuous trading

Cited in

(12)

• Remarks on an arbitrage-free condition for XVA
• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
• A unified approach to xVA with CSA discounting and initial margin
• Robust XVA
• XVA analysis from the balance sheet
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
• Wealth transfers, indifference pricing, and XVA compression schemes
• XVA principles, nested Monte Carlo strategies, and GPU optimizations
• Positive XVAs
• Arbitrage-free XVA
• XVA metrics for CCP optimization
• XVA modelling: validation, performance and model risk management

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