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Managing XVA in Practice

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

Author

Listed:
  • Osamu Tsuchiya

Abstract

By now, it should be clear that XVA is very much something to be considered at the level of large portfolios — all portfolios in a netting set for CVA and DVA, funding set for FVA, capital set for KVA and other segregated set (to which initial margin applies) for MVA. Ring fencing and integration of different regulatory environments are adding another layer of complexity. Clearly, there are operational considerations in light of this — namely data requirements and computational requirements. We shall start with a brief discussion of the setup of a financial institution to give further context to the subsequent discussion.

Suggested Citation

  • Osamu Tsuchiya, 2019. "Managing XVA in Practice," World Scientific Book Chapters, in: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis, chapter 12, pages 209-232, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813272743_0012
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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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