Skip to main content
Quantitative Finance

Questions tagged [xva]

Ask Question

The tag has no summary.

19 questions
Newest Active Bountied Unanswered
0 votes
0 answers
41 views

I know that some banks use AMC (american monte-carlo) to calculate exposure simulation (for CVA) across the board (for all trade types, not just american style option trade types) instead of ...
jambodev's user avatar
  • 101
1 vote
0 answers
84 views

From "In the Balance" of Burgard, Kjaer $$ \mathrm{FCA} \;=\; -(1-R_B)\int_t^T \lambda_B(u)\,D_{r+\lambda_B+\lambda_C}(t,u)\, \mathbb{E}_t\big[\,V^+(u,S(u))\,\big]\,\mathrm{d}u. $$ To ...
solid's user avatar
  • 298
1 vote
1 answer
338 views

In the paper The Fundamental Representation of Pricing Adjustments (2025), the authors describe a fundamental representation of price adjustments and then compare this to well-known adjustments in the ...
solid's user avatar
  • 298
0 votes
0 answers
67 views

I’m working on the simulation-based valuation of cross-currency swaps (XCCY), specifically EURUSD XCCY swaps. I have independently simulated: SOFR dynamics under a Hull-White 1F model (risk-neutral ...
DaniTec316's user avatar
  • 21
0 votes
1 answer
743 views

The expression for ColVA is usually written as something similar to this: $ColVA= -\int_{t}^{T} D(t,u) E_{t}\Big[ s_{X}(u)X(u)\Big]du$ Where D is the discount, $s_{x}$ the spread at which the ...
vsa's user avatar
  • 61
0 votes
0 answers
400 views

Potential Future Exposure (a credit risk metric) is calculated using $$PFE(\tau) = \text{max}\Big(0, \mathcal{P}_{derivative}(\tau) - CVA(\tau)\Big)$$, where $\mathcal{P}$ is the price / fair value / ...
A.L. Verminburger's user avatar
  • 1,010
2 votes
0 answers
208 views

By any way, does anyone know the relation of FTP curves constructed in bank to FVA (Funding Value Adjustments). It'll be good if anyone could share some references here! Thanks!
Benedict's user avatar
  • 346
1 vote
1 answer
243 views

I am looking for a qualitative assessment regarding the (negotiable) 'cost' incurred when two counterparties agree on collateralizing existing derivatives business. I think the core of my question is: ...
Kermittfrog's user avatar
  • 7,325
1 vote
0 answers
39 views

In the well-known article by Mr. Piterbarg "Funding Beyond Discounting". he demonstrates that the price of a derivative product in a multi-curve universe: Who also expresses it but without ...
SIMO's user avatar
  • 51
3 votes
2 answers
1k views

I've got a very simple question on 2 different ways of defining or calculating the FVA of an uncollateralized swap. One definition I've often seen is that the FVA is the difference in the net present ...
Curiosity's user avatar
  • 31
1 vote
2 answers
985 views

Hey what is the validation of XVA models (CVA, FVA etc)? As we know XVA calculation is rather complex problem (simulation, Valuation, aggregation) so what steps should be taken to check if the model ...
Ramsey's user avatar
  • 13
1 vote
3 answers
531 views

I was having a discussion with a colleague in the industry, who mentioned in passing that CVA on a cross currency swap from EUR into USD (pay EUR) is always higher than if paying USD and receiving EUR....
Alex's user avatar
  • 11
1 vote
2 answers
1k views

In this numerical example, I can't figure out with which numbers (when using the PV formula) to calculate exposure at default (EAD) as shown in the table. The EAD is the value of the discounted future ...
user avatar
1 vote
1 answer
300 views

Our business funds itself in 2 currencies, USD and ZAR. As a consequence we have a USD funding curve. I need to price a GBPZAR cross-currency swap (XIRS) against a counterparty with which we have no ...
acchan94's user avatar
  • 71
6 votes
3 answers
2k views

I am looking for some good textbook to understand xVA and related calculations. Can you please suggest few? Your pointer will be highly appreciated. Many thanks,
Bogaso's user avatar
  • 928

15 30 50 per page
1
2