XVA modelling: validation, performance and model risk management

DOI10.1007/s10479-023-05323-4zbMATH Open1537.91334MaRDI QIDQ6549597

Marco Bianchetti, Lorenzo Silotto, Marco Scaringi

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

model riskmodel validationinitial marginXVAG2++variation margin

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Robust risk measurement and model risk
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• Impact of multiple curve dynamics in credit valuation adjustments under collateralization
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Counterparty Credit Risk, Collateral and Funding

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