ORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro and Oliva, Immacolata
(2021):
A Unified Approach to xVA with CSA Discounting and Initial Margin.
In: SIAM Journal on Financial Mathematics, Vol. 12, No. 3: pp. 1013-1053
Abstract
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-office desk of the bank uses trade-specific discount curves (credit support annex discounting) which differ from the discount rate adopted by the xVA desk. Finally, we clarify the impact of aggregation of several subportfolios of trades on the xVA-valuation of the resulting global portfolio and study related nonlinearity effects.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 1945-497X |
| Language: | English |
| Item ID: | 97012 |
| Date Deposited: | 05. Jun 2023, 15:24 |
| Last Modified: | 08. Aug 2024, 15:37 |
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