When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments

DOI10.1137/19M1242781zbMath1443.91286MaRDI QIDQ5112532

Shiqi Song, Wissal Sabbagh, Stéphane Crépey

Publication date: 29 May 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

progressive enlargement of filtrationcapital valuation adjustment (KVA)credit valuation adjustment (CVA)funding valuation adjustment (FVA)invariance timeanticipated (or McKean) BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

A Risk-Sharing Framework of Bilateral Contracts ⋮ Wealth Transfers, Indifference Pricing, and XVA Compression Schemes ⋮ A Unified Approach to xVA with CSA Discounting and Initial Margin ⋮ Positive XVAs ⋮ XVA analysis from the balance sheet

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