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Relevant bibliographies by topics / XVA pricing

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Academic literature on the topic 'XVA pricing'

Author: Grafiati

Published: 4 June 2021

Last updated: 10 February 2022

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Journal articles on the topic "XVA pricing"

1

WU, LIXIN, and DAWEI ZHANG. "xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT." International Journal of Theoretical and Applied Finance 23, no. 01 (February 2020): 2050006. http://dx.doi.org/10.1142/s0219024920500065.

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xVA is a collection of valuation adjustments made to the classical risk-neutral valuation of a derivative or derivatives portfolio for pricing or for accounting purposes, and it has been a matter of debate and controversy. This paper is intended to clarify the notion of xVA as well as the usage of the xVA items in pricing, accounting or risk management. Based on bilateral replication pricing using shares and credit default swaps, we attribute the P&L of a derivatives trade into the compensation for counterparty default risks and the costs of funding. The expected present values of the compensation and the funding costs under the risk-neutral measure are defined to be the bilateral CVA and FVA, respectively. The latter further breaks down into FCA, MVA, ColVA and KVA. We show that the market funding liquidity risk, but not any idiosyncratic funding risks, can be bilaterally priced into a derivative trade, without causing price asymmetry between the counterparties. We call for the adoption of VaR or CVaR methodologies for managing funding risks. The pricing of xVA of an interest-rate swap is presented.

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Ninomiya, Syoiti, and Yuji Shinozaki. "Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing." Applied Mathematical Finance 26, no. 3 (May 4, 2019): 257–92. http://dx.doi.org/10.1080/1350486x.2019.1637268.

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BISSIRI, MATTEO, and RICCARDO COGO. "BEHAVIORAL VALUE ADJUSTMENTS." International Journal of Theoretical and Applied Finance 20, no. 08 (December 2017): 1750050. http://dx.doi.org/10.1142/s0219024917500509.

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Assets or liabilities with embedded prepayment/extension options can be subject to behavioral risk, due to the unpredictable exercise strategy followed by the option holder who does not act purely on the strength of financial convenience. When seen from the viewpoint of the option seller, such behavior results in a lower option value and an additional source of uncertainty in future cash flows. In this paper, we propose a general framework to model behavioral risk by taking advantage of a full parallel with credit portfolio modeling and by combining the features of option-based and intensity models. Our approach is micro-structural, meaning that the aggregate prepayment rate derives from the sum of individual decisions. In principle, a detailed characterization of the behavior of a pool of investors can be performed depending on available data. A particular emphasis is placed on the precise definition of behavioral risk and on the modeling of nonmarket factors, which may contribute significantly to the variance of future cash flows. Finally, we discuss the calibration of a behavioral risk premium and the pricing of contracts with embedded options by introducing the concept of behavioral risk adjustment ([Formula: see text]VA), in line with the recent development of XVA methodology.

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Chau, Ki Wai, Jok Tang, and Cornelis W. Oosterlee. "An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA." Journal of Mathematics in Industry 10, no. 1 (February 19, 2020). http://dx.doi.org/10.1186/s13362-020-00073-5.

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Zhu, Junhao, Dejun Xie, Gang Liu, and Fei Ma. "An XVA Approach to Counterparty Risk Appraisal." Current Chinese Computer Science 01 (September 9, 2020). http://dx.doi.org/10.2174/2665997201999200909124001.

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Background: More bona fide adjustments aimed at appraising counterparty risks and financial expenses related to over-the-counter derivative have become indispensable after the European sovereign debt catastrophe and the 2007/08’s world-wide fiscal crisis. The most notable measures include DVA, CVA and FVA. Methods: This paper advocates the application of XVA scheme to assess CVA, DVA, and FVA for managing risk and pricing of financial or OTC derivatives. Results and Discussion: A foundation formula is formulated and tested against different risk scenarios of CVA, DVA, FVA, and KVA using cross referenced data. Practical advices are provided for real industry application of XVA. Conclusion: Compared to traditional risk management in financial market where funding risk, credit risk, and default risk are accounted separately, the approach proposed by the current study monitors the multiple types of risk in a comprehensive framework and is more practically effective from financial operation point of view.

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Bichuch, Maxim, Agostino Capponi, and Stephan Sturm. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples." SSRN Electronic Journal, 2015. http://dx.doi.org/10.2139/ssrn.2554600.

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Bichuch, Maxim, Agostino Capponi, and Stephan Sturm. "Arbitrage-Free Pricing of XVA Part II: PDE Representation and Numerical Analysis." SSRN Electronic Journal, 2015. http://dx.doi.org/10.2139/ssrn.2568118.

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Kenyon, Chris, and Andrew David Green. "Efficient XVA Management: Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning." SSRN Electronic Journal, 2014. http://dx.doi.org/10.2139/ssrn.2539532.

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Chen, Yuwei, and Christina Christara. "Penalty Methods for Bilateral XVA Pricing in European and American Contingent Claims by a PDE Model." SSRN Electronic Journal, 2019. http://dx.doi.org/10.2139/ssrn.3729066.

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Chen, Yuwei, and Christina Christara. "Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model." Journal of Computational Finance, 2021. http://dx.doi.org/10.21314/jcf.2020.402.

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Dissertations / Theses on the topic "XVA pricing"

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Kairinos, Christopher. "A practical implementation of XVA in the new normal." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/63610.

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The Great Financial Crisis (GFC) of 2008 left many ﬁnancial institutions devastated. Despite the practice of advanced risk management at the time, society witnessed the collapse of the “too big to fail” institutions. Gaping holes within the existing risk framework lurked, which both regulators and practitioners failed to detect. This dissertation discusses the symptoms of the crisis that were overlooked and explores the ﬁnancial engineering implemented post-2008 to avoid the next crisis. The author considers the work of Hull, White, Gregory, Brigo, Kenyon, Green, Morini, Pallavicini, Piterbarg, Burgard, Kjaer, Elouerkhaoui, and Castagna. A literature review is provided for each of the mentioned names to highlight each author’s contribution to the ﬁeld of Total Value Adjustment (XVA) pricing. An in-depth analysis on the funding invariance principle suggested by Elouerkhaoui is provided followed by a model implementation. The core aim of this dissertation is to review XVA valuations from a practitioners perspective using the framework provided by Elouerkhaoui. A secondary aim of the dissertation is to brieﬂy explore the work of Aboura and Maillard on the Cornish-Fisher Transformation (CF). The CF is considered as a parsimonious approach in estimating non-normal distributions, therefore an interesting alternative to price XVA using Monte Carlo (MC) simulation.
Dissertation (MSc)--University of Pretoria, 2017.
Mathematics and Applied Mathematics
MSc
Unrestricted

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Zhou, Tingwen. "Arbitrage-Free Pricing of XVA for American Options in Discrete Time." Digital WPI, 2017. https://digitalcommons.wpi.edu/etd-theses/348.

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Total valuation adjustment (XVA) is a new technique which takes multiple material financial factors into consideration when pricing derivatives. This paper explores how funding costs and counterparty credit risk affect pricing the American option based on no-arbitrage analysis. We review previous studies of European option pricing with different funding costs. The conclusions help to compute the no- arbitrage price of the American option in the model with different borrowing and lending rates. Another model with counterparty credit risk is set up, and this pricing approach is referred to as credit valuation adjustment (CVA). A defaultable bond issued by the counterparty is used to hedge the loss from the option's default. We incorporate these two models to assess the XVA of an American option. The collateral, which protects the option investors from default, is considered in our benchmark model. To illustrate our results, numerical experiments are designed to demonstrate the relationship between XVA and parameters, which include the funding rates, bond's rate of return, and number of periods.

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Min, Ming. "Numerical Methods for European Option Pricing with BSDEs." Digital WPI, 2018. https://digitalcommons.wpi.edu/etd-theses/1169.

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This paper aims to calculate the all-inclusive European option price based on XVA model numerically. For European type options, the XVA can be calculated as so- lution of a BSDE with a specific driver function. We use the FT scheme to find a linear approximation of the nonlinear BSDE and then use linear regression Monte Carlo method to calculate the option price.

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Books on the topic "XVA pricing"

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Bu wan quan xin xi xia de zi chan jia ge chong ji yu huo bi zheng ce xuan ze. Beijing Shi: Zhongguo cai zheng jing ji chu ban she, 2009.

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Book chapters on the topic "XVA pricing"

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Ruiz, Ignacio. "Pricing Counterparty Credit Risk." In XVA Desks — A New Era for Risk Management, 126–42. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137448200_8.

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Albanese, Claudio, Marc Chataigner, and Stéphane Crépey. "Wealth Transfers, Indifference Pricing, and XVA Compression Schemes." In Mathematical Lectures from Peking University, 219–48. Singapore: Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-1576-7_5.

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3

Lu, Dongsheng. "FVA Primer: Derivatives Pricing with Funding." In The XVA of Financial Derivatives: CVA, DVA and FVA Explained, 52–120. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137435842_5.

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"CVA and its Relation to Traditional Bond Pricing." In A Practical Approach to XVA, 17–38. WORLD SCIENTIFIC, 2019. http://dx.doi.org/10.1142/9789813272743_0002.

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"Underpinnings of Traditional Derivatives Pricing and Implications of Current Environment." In A Practical Approach to XVA, 3–14. WORLD SCIENTIFIC, 2019. http://dx.doi.org/10.1142/9789813272743_0001.

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Conference papers on the topic "XVA pricing"

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Anysz, H., and A. Foremny. "Client’s Expectations vs Contractor’s Pricing. Fair Prices or Bid Rigging." In XV International Conference on Durability of Building Materials and Components. CIMNE, 2020. http://dx.doi.org/10.23967/dbmc.2020.020.

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