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Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation

Citations

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Cited by:

  1. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
  2. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
  3. Damiano Brigo & Cyril Durand, 2014. "An initial approach to Risk Management of Funding Costs," Papers 1410.2034, arXiv.org.
  4. Joachim Erhardt & Johannes Lübbers & Peter N Posch, 2017. "Bail-in and asset encumbrance - Implications for banks’ asset liability management," Journal of Banking Regulation, Palgrave Macmillan, vol. 18(2), pages 149-162, April.
  5. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
  6. Han, Meng & He, Yeqi & Zhang, Hu, 2013. "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper 44495, University Library of Munich, Germany.
  7. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  8. Bert-Jan Nauta, 2015. "Liquidity Risk, Instead Of Funding Costs, Leads To A Valuation Adjustment For Derivatives And Other Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-30.
  9. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2012. "Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting," Papers 1207.2316, arXiv.org, revised Jul 2012.
  10. Giovanni Mottola, 2014. "Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA," Papers 1412.1325, arXiv.org, revised Feb 2015.
  11. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2021. "A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting," Applied Mathematics and Computation, Elsevier, vol. 391(C).
  12. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "A Bond Consistent Derivative Fair Value," Papers 1406.5755, arXiv.org, revised Sep 2014.
  13. Papin, Timothée, 2013. "Pricing of Corporate Loan : Credit Risk and Liquidity cost," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/12545 edited by Turinici, Gabriel.
  14. Stéphane Crépey & Raphaël Douady, 2014. "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151315, HAL.
  15. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
  16. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.
  17. Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
  18. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
  19. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
  20. Chris Kenyon & Richard David Kenyon, 2013. "DVA for Assets," Papers 1301.5425, arXiv.org.
  21. Jan Baldeaux & Eckhard Platen, 2015. "Credit Derivative Evaluation and CVA Under the Benchmark Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 305-331, September.
  22. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging," Papers 1403.1086, arXiv.org, revised Apr 2014.
  23. Alan Brace, 2013. "Primer: Curve Stripping with Full Collateralisation," Research Paper Series 330, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Lixin Wu, 2015. "Cva And Fva To Derivatives Trades Collateralized By Cash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-22.
  25. Tomasz R. Bielecki & Marek Rutkowski, 2013. "Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1," Papers 1306.4733, arXiv.org, revised Jun 2013.
  26. Meng Han & Yeqi He & Hu Zhang, 2014. "A note on discounting and funding value adjustments for derivatives," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-34.
  27. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
  28. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
  29. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
  30. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
  31. Giovanni Mottola, 2014. "Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA," Papers 1410.0594, arXiv.org, revised Jan 2015.
  32. Damiano Brigo & Cristin Buescu & Marek Rutkowski, 2016. "Funding, repo and credit inclusive valuation as modified option pricing," Papers 1602.05998, arXiv.org, revised Jun 2017.
  33. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
  34. Alan Brace, 2013. "Primer: The FST Theorem for Pricing with Foreign Collateral," Research Paper Series 331, Quantitative Finance Research Centre, University of Technology, Sydney.
  35. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
  36. Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
  37. Lixin Wu & Dawei Zhang, 2020. "xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-24, February.
  38. Kun Tian & Dewen Xiong & Wenchao Yan & George Xianzhi Yuan, 2018. "The study of dynamics for credit default risk by backward stochastic differential equation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-32, December.
  39. Lorenzo Cornalba, 2014. "Funding Value Adjustment and Incomplete Markets," Papers 1409.6093, arXiv.org.
  40. Giovanni Mottola, 2014. "A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding," Papers 1412.1469, arXiv.org.
  41. Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.
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