XVA analysis from the balance sheet

@article{Albanese2020XVAAF,
  title={XVA analysis from the balance sheet},
  author={Claudio Albanese and St{\'e}phane Cr{\'e}pey and Rodney Hoskinson and Bouazza Saadeddine},
  journal={Quantitative Finance},
  year={2020},
  volume={21},
  pages={99 - 123}
}
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007–2009 crisis. We root a cost-of-capital XVA strategy in a balance sheet perspective which is key to identifying the economic meaning of the XVA terms. Our approach is first detailed in a static setup that is solved explicitly. It is then plugged into the dynamic and trade incremental context of a real derivative banking portfolio. The corresponding cost-of-capital XVA… 
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References

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