Wealth Transfers, Indifference Pricing, and XVA Compression Schemes

DOI10.1007/978-981-15-1576-7_5zbMath1448.91327OpenAlexW3011529414MaRDI QIDQ5132616

Claudio Albanese, Marc Chataigner, Stéphane Crépey

Publication date: 12 November 2020

Published in: Mathematical Lectures from Peking University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-15-1576-7_5

zbMATH Keywords

counterparty riskcost of capitalmarket incompletenesscost of capital (KVA)funding valuation adjustment (FVA)wealth transfercredit/debt valuation adjustment (CVA and DVA)funds transfer price (FTP)margin valuation adjustment (MVA)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (2)

Derivatives risks as costs in a one-period network model ⋮ A Risk-Sharing Framework of Bilateral Contracts

Cites Work

• Multiperiod insurance supervision: top-down models
• An analysis of the conditions for the validity of Modigliani-Miller theorem with incomplete markets
• XVA metrics for CCP optimization
• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
• Coherent global market simulations and securitization measures for counterparty credit risk
• Cost-of-Capital Margin for a General Insurance Liability Runoff
• Arbitrage‐free XVA
• XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS
• When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
• Central Clearing Valuation Adjustment
• RESTRUCTURING COUNTERPARTY CREDIT RISK

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