xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT

DOI10.1142/S0219024920500065zbMath1443.91303OpenAlexW2999110283WikidataQ126397554 ScholiaQ126397554MaRDI QIDQ5221482

Dawei Zhang, Lixin Wu

Publication date: 26 March 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500065

zbMATH Keywords

capital valuation adjustment (KVA)credit valuation adjustment (CVA)funding valuation adjustment (FVA)margin valuation adjustment (MVA)collateral valuation adjustment (ColVA)funding cost adjustment (FCA)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Bilateral credit valuation adjustment for large credit derivatives portfolios
• Martingales and stochastic integrals in the theory of continuous trading
• CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH
• Markov interest rate models
• Arbitrage‐free XVA
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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