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Ingredients of the Modern Yield Curve and Overlaps with XVA

In: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis

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  • Osamu Tsuchiya

Abstract

Ultimately, XVA can be thought of as a set of adjustments to the price of an instrument to fully take into account costs (and benefits) pertaining to various activities needed to maintain and risk manage the position (i.e. funding, potential default, margining, etc.). But what is the base (e.g. potentially but not necessarily “risk-free”) case to which these adjustments are made? This naturally needs us to consider the construction of the modern yield curve, post 2008 (Bianchetti, 2010).

Suggested Citation

  • Osamu Tsuchiya, 2019. "Ingredients of the Modern Yield Curve and Overlaps with XVA," World Scientific Book Chapters, in: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis, chapter 5, pages 77-97, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813272743_0005
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    More about this item

    Keywords

    XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G01 - Financial Economics - - General - - - Financial Crises

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