Pubblicazioni

Autori:

Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata

Titolo:

A Unified Approach to xVA with CSA Discounting and Initial Margin

Anno:

2021

Tipologia prodotto:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Lingua:

Inglese

Formato:

Elettronico

Referee:

Sì

Nome rivista:

SIAM JOURNAL ON FINANCIAL MATHEMATICS

ISSN Rivista:

1945-497X

N° Volume:

12

Numero o Fascicolo:

3

Intervallo pagine:

1013-1053

Parole chiave:

CVA, DVA, FVA, CollVA, xVA, EPE, PFE, Basel III, Collateral

Breve descrizione dei contenuti:

In this paper we extend the existing literature on xVA along three directions. First, we extend existing BSDE-based xVA frameworks to include initial margin by following the approach of Crépey (2015a) and Crépey (2015b). Next, we solve the consistency problem that arises when the front- office desk of the bank uses trade-specific discount curves that differ from the discount curve adopted by the xVA desk. Finally, we address the existence of multiple aggregation levels for contingent claims in the portfolio between the bank and the counterparty by providing suitable extensions of our proposed single-claim xVA framework.

Id prodotto:

125039

Handle IRIS:

11562/995482

ultima modifica:

14 febbraio 2025

Citazione bibliografica:

Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata, A Unified Approach to xVA with CSA Discounting and Initial Margin «SIAM JOURNAL ON FINANCIAL MATHEMATICS» , vol. 12 , n. 3 , 2021 , pp. 1013-1053

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