A Unified Approach to xVA with CSA Discounting and Initial Margin

DOI10.1137/20M1332153zbMath1476.91140arXiv1905.11328OpenAlexW3194703332MaRDI QIDQ5162843

Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva

Publication date: 5 November 2021

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

Full work available at URL: https://arxiv.org/abs/1905.11328

zbMATH Keywords

xVAcollateralBasel IIICVAinitial marginFVADVACollVAEPE

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (5)

Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework ⋮ A fully quantization-based scheme for FBSDEs ⋮ Approximate value adjustments for European claims ⋮ The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives

Cites Work

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