Brown Bag Seminar: When defaults cannot be hedged: an actuarial approach to XVA calculations via Local Risk-Minimization

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Relatore:  Alessandro Gnoatto - University of Verona
  martedì 4 marzo 2025 alle ore 12.00 Aula Vaona

We consider the pricing and hedging of counterparty credit risk and funding when there is no possibility to hedge the jump to default of either the bank or the counterparty. This represents the situation which is most often encountered in practice, due to the absence of quoted corporate bonds or CDS contracts written on the counterparty and the difficulty for the bank to buy/sell protection on her own default. We apply local risk-minimization to find the optimal strategy and compute it via BSDE.

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Andrea Mazzon
Referente esterno
Data pubblicazione
5 febbraio 2025
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