# 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…

## 26 Citations

Wealth Transfers, Indifference Pricing, and XVA Compression Schemes

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Since the 2008–2009 financial crisis, banks have introduced a family of XVA metrics to quantify the cost of counterparty risk and of its capital and funding implications: the credit/debt valuation…

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This work presents a genetic algorithm applied to the compression of credit valuation adjustment (CVA), the expected cost of client defaults to a bank, and proposes an approach that circumvents portfolio revaluation at the cost of disk memory.

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- Computer Science
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This work presents a multi-Gaussian process regression approach, well suited for the over-the-counter derivative portfolio valuation involved in credit valuation adjustment (CVA) computation, which avoids nested simulation or simulation and regression of cashflows by learning a Gaussian metamodel for the mark-to-market cube of a derivative portfolio.

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- Computer ScienceSSRN Electronic Journal
- 2019

This work presents a multi-Gaussian process regression approach, which is well suited for OTC derivative portfolio valuation involved in CVA computation, and avoids nested simulation or simulation and regression of cash flows by learning a Gaussian metamodel for the mark-to-market cube of a derivative portfolio.

Estimating Future VaR from Value Samples and Applications to Future Initial Margin

- Economics
- 2021

Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and future market risk VaR.…

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Abstract Based on an XVA analysis of centrally cleared derivative portfolios, we consider two capital and funding issues pertaining to the efficiency of the design of central counterparties (CCPs).…

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