Ingredients of the Modern Yield Curve and Overlaps with XVA

Osamu Tsuchiya

Chapter 5 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 77-97 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Ultimately, XVA can be thought of as a set of adjustments to the price of an instrument to fully take into account costs (and benefits) pertaining to various activities needed to maintain and risk manage the position (i.e. funding, potential default, margining, etc.). But what is the base (e.g. potentially but not necessarily “risk-free”) case to which these adjustments are made? This naturally needs us to consider the construction of the modern yield curve, post 2008 (Bianchetti, 2010).

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
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