Central Clearing Valuation Adjustment

DOI10.1137/15M1028170zbMath1367.91185arXiv1506.08595MaRDI QIDQ5266361

Stéphane Crépey, Yannick Armenti

Publication date: 2 June 2017

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

Full work available at URL: https://arxiv.org/abs/1506.08595

zbMATH Keywords

marginscounterparty riskcost of capitalnettingdefault fundcost of funding

Mathematics Subject Classification ID

Related Items (10)

Counterparty risk and funding: immersion and beyond ⋮ XVA metrics for CCP optimization ⋮ Optimal network compression ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Systemic Risk in Networks with a Central Node ⋮ Wealth Transfers, Indifference Pricing, and XVA Compression Schemes ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ Credit, funding, margin, and capital valuation adjustments for bilateral portfolios ⋮ Positive XVAs

Cites Work

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• Analytical Approximations of BSDEs with Nonsmooth Driver
• Multivariate Shortfall Risk Allocation and Systemic Risk
• Arbitrage‐free XVA
• Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
• Central clearing of OTC derivatives: Bilateral vs multilateral netting
• Counterparty Credit Risk, Collateral and Funding

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