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Wealth Transfers, Indifference Pricing, and XVA Compression Schemes - MaRDI portal

Wealth Transfers, Indifference Pricing, and XVA Compression Schemes (Q5132616)

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scientific article; zbMATH DE number 7273641
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English
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes
scientific article; zbMATH DE number 7273641

    Statements

    title
    Wealth Transfers, Indifference Pricing, and XVA Compression Schemes (English)
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    author
    Claudio Albanese
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    Marc Chataigner
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    Stéphane Crépey
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    publication date
    12 November 2020
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    zbMATH Keywords
    counterparty risk
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    credit/debt valuation adjustment (CVA and DVA)
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    market incompleteness
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    wealth transfer
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    cost of capital
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    funding valuation adjustment (FVA)
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    margin valuation adjustment (MVA)
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    cost of capital (KVA)
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    funds transfer price (FTP)
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    Identifiers

    zbMATH DE Number
    7273641
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    OpenAlex ID
    W3011529414
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