xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT
DOI10.1142/S0219024920500065zbMATH Open1443.91303OpenAlexW2999110283WikidataQ126397554 ScholiaQ126397554MaRDI QIDQ5221482FDOQ5221482
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
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capital valuation adjustment (KVA)credit valuation adjustment (CVA)funding valuation adjustment (FVA)margin valuation adjustment (MVA)collateral valuation adjustment (ColVA)funding cost adjustment (FCA)
Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)
Cites Work
- Martingales and stochastic integrals in the theory of continuous trading
- Markov interest rate models
- Bilateral credit valuation adjustment for large credit derivatives portfolios
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Arbitrage-free XVA
- CVA and FVA to derivatives trades collateralized by cash
Cited In (12)
- A unified approach to xVA with CSA discounting and initial margin
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
- 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
- Remarks on an arbitrage-free condition for XVA
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