Managing XVA in Practice

Osamu Tsuchiya

Chapter 12 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 209-232 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital (search for similar items in EconPapers)
JEL-codes: C02 G01 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813272743_0012 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813272743_0012 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789813272743_0012

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().