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KVA: Capital Valuation Adjustment

Citations

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Cited by:

  1. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''," Applied Mathematics and Computation, Elsevier, vol. 406(C).
  2. Lorenzo Silotto & Marco Scaringi & Marco Bianchetti, 2021. "Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask," Papers 2107.10377, arXiv.org.
  3. Claudio Albanese & Simone Caenazzo & Stéphane Crépey, 2016. "Capital Valuation Adjustment and Funding Valuation Adjustment," Working Papers hal-01285363, HAL.
  4. Andrew Green & Chris Kenyon, 2014. "MVA: Initial Margin Valuation Adjustment by Replication and Regression," Papers 1405.0508, arXiv.org, revised Jan 2015.
  5. Claudio Albanese & Simone Caenazzo & Stéphane Crépey, 2018. "Capital and Funding," Working Papers hal-01764401, HAL.
  6. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
  7. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
  8. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
  9. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
  10. Andrew Green & Chris Kenyon, 2016. "XVA at the Exercise Boundary," Papers 1610.00256, arXiv.org.
  11. Wujiang Lou, 2015. "Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation," Papers 1512.07340, arXiv.org.
  12. Chris Kenyon & Hayato Iida, 2018. "Behavioural effects on XVA," Papers 1803.03477, arXiv.org.
  13. Stéphane Crépey & Wissal Sabbagh & Shiqi Song, 2020. "When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments," Post-Print hal-03910119, HAL.
  14. Chris Kenyon & Andrew Green, 2015. "Dirac Processes and Default Risk," Papers 1504.04581, arXiv.org.
  15. Claudio Albanese & Marc Chataigner & Stéphane Crépey, 2020. "Wealth Transfers, Indifference Pricing, and XVA Compression Schemes," Post-Print hal-03910047, HAL.
  16. Chris Kenyon & Andrew Green & Mourad Berrahoui, 2015. "Which measure for PFE? The Risk Appetite Measure, A," Papers 1512.06247, arXiv.org.
  17. Stéphane Crépey, 2022. "Positive XVAs," Post-Print hal-03910135, HAL.
  18. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
  19. Jan Šedivý, 2019. "Optimální způsob sjednání derivátu za přítomnosti rizika protistrany [Optimal Method of Entering a Derivative Contract in the Presence of Counterparty Risk]," Politická ekonomie, Prague University of Economics and Business, vol. 2019(1), pages 65-81.
  20. Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021. "XVA analysis from the balance sheet," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 99-123, January.
  21. Lokman A. Abbas-Turki & Stéphane Crépey & Babacar Diallo, 2018. "Xva Principles, Nested Monte Carlo Strategies, And Gpu Optimizations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-40, September.
  22. Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
  23. Andrew Lesniewski & Anja Richter, 2016. "Managing counterparty credit risk via BSDEs," Papers 1608.03237, arXiv.org, revised Aug 2016.
  24. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2017. "An indifference approach to the cost of capital constraints: KVA and beyond," Papers 1708.05319, arXiv.org.
  25. 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.
  26. Antti Vauhkonen, 2018. "Corrected XVA Modelling Framework and Formulae for KVA and MVA," Papers 1807.10924, arXiv.org.
  27. 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.
  28. Juan Jose Francisco Miguelez & Cristin Buescu, 2023. "Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk," Papers 2308.10568, arXiv.org, revised Mar 2024.
  29. Wujiang Lou, 2016. "Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework," Papers 1604.05406, arXiv.org, revised Oct 2016.
  30. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model," Applied Mathematics and Computation, Elsevier, vol. 391(C).
  31. Chris Kenyon & Andrew Green, 2014. "VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution," Papers 1405.7611, arXiv.org.
  32. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.
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