In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-office desk of the bank uses trade-specific discount curves (credit support annex discounting) which differ from the discount rate adopted by the xVA desk. Finally, we clarify the impact of aggregation of several subportfolios of trades on the xVA-valuation of the resulting global portfolio and study related nonlinearity effects.
A Unified Approach to xVA with CSA Discounting and Initial Margin / Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 12:3(2021), pp. 1013-1053. [10.1137/20M1332153]
A Unified Approach to xVA with CSA Discounting and Initial Margin
Immacolata Oliva
2021
Abstract
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-office desk of the bank uses trade-specific discount curves (credit support annex discounting) which differ from the discount rate adopted by the xVA desk. Finally, we clarify the impact of aggregation of several subportfolios of trades on the xVA-valuation of the resulting global portfolio and study related nonlinearity effects.| File | Dimensione | Formato | |
|---|---|---|---|
|
Oliva_A-Unified-Approach_2021.pdf
solo gestori archivio
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
816.7 kB
Formato
Adobe PDF
|
816.7 kB | Adobe PDF | Contatta l'autore |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
