A unified approach to xVA with CSA discounting and initial margin

  title={A unified approach to xVA with CSA discounting and initial margin},
  author={Francesca Biagini and Alessandro Gnoatto and Immacolata Oliva},
  journal={Risk Management \& Analysis in Financial Institutions eJournal},
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve ... 

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