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A Unified Approach to xVA with CSA Discounting and Initial Margin - MaRDI portal

A Unified Approach to xVA with CSA Discounting and Initial Margin (Q5162843)

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scientific article; zbMATH DE number 7421258
Language Label Description Also known as
English
A Unified Approach to xVA with CSA Discounting and Initial Margin
scientific article; zbMATH DE number 7421258

    Statements

    title
    A Unified Approach to xVA with CSA Discounting and Initial Margin (English)
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    author
    Francesca Biagini
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    Alessandro Gnoatto
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    Immacolata Oliva
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    publication date
    5 November 2021
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    zbMATH Keywords
    CVA
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    DVA
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    FVA
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    CollVA
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    xVA
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    EPE
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    Basel III
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    collateral
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    initial margin
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    cites work
    Arbitrage‐free XVA
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    Robust XVA
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    Q4657105
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    Q5169724
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    Identifiers

    DOI
    10.1137/20M1332153
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    Mathematics Subject Classification ID
    91G10
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    91G45
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    60H30
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    zbMATH DE Number
    7421258
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    arXiv ID
    1905.11328
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    OpenAlex ID
    W3194703332
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