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agnoatto
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Joined: November 23rd, 2011, 8:12 am

Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin

May 28th, 2019, 7:17 am

Dear all,

I have a new paper on xVA. I would be happy to hear comments.

Title: Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin

Abstract: In this paper we extend the existing literature on xVA along three directions. First, we extend existing BSDE-based xVA frameworks to include initial margin by following the approach of Crépey (2015a) and Crépey (2015b). Next, we solve the consistency problem that arises when the front-office desk of the bank uses trade-specific discount curves that differ from the discount curve adopted by the xVA desk. Finally, we address the existence of multiple aggregation levels for contingent claims in the portfolio between the bank and the counterparty by providing suitable extensions of our proposed single-claim xVA framework.

Link: https://www.researchgate.net/publicatio ... IAL_MARGIN
Prof Alessandro Gnoatto, PhD
Department of Economics
University of Verona
Via Cantarane 24 - 37129 Verona - Italy
37129, Verona, Italy