Framework for Computing XVA

Osamu Tsuchiya

Chapter 9 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 147-167 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter, we shall sketch a framework for computing XVA in practice. Whereas traditional derivatives pricing is analyzed from the perspective of individual deals, XVA needs to be understood at the portfolio level. This naturally suggests a different perspective and presents challenges in terms of computational constraints and data availability and consistency…

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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