Publications

Authors:

Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata

Title:

A Unified Approach to xVA with CSA Discounting and Initial Margin

Year:

2021

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Format:

Elettronico

Referee:

Sì

Name of journal:

SIAM JOURNAL ON FINANCIAL MATHEMATICS

ISSN of journal:

1945-497X

N° Volume:

12

Number or Folder:

3

Page numbers:

1013-1053

Keyword:

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

Short description of contents:

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.

Product ID:

125039

Handle IRIS:

11562/995482

Last Modified:

February 14, 2025

Bibliographic citation:

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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