A unified approach to xVA with CSA discounting and initial margin

@article{Biagini2019AUA,
  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},
  year={2019}
}
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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8 Citations
Background Citations
3
Methods Citations
1

8 Citations

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