Positive XVAs

DOI10.3934/fmf.2022003zbMath1500.91134OpenAlexW4293215052MaRDI QIDQ2085834

Stéphane Crépey

Publication date: 19 October 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2022003

zbMATH Keywords

counterparty riskmarket incompletenesscapital valuation adjustment (KVA)central counterparties (CCP)credit valuation adjustment (CVA)funding valuation adjustment (FVA)wealth transfer

Mathematics Subject Classification ID

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

Related Items (3)

Derivatives risks as costs in a one-period network model ⋮ Pathwise CVA regressions with oversimulated defaults ⋮ Quantitative reverse stress testing, bottom up

Cites Work

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• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• Central Clearing Valuation Adjustment
• A General Formula for Valuing Defaultable Securities

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