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xnick
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Joined: August 7th, 2015, 9:16 pm

Literature on EPE/ENE calculations using RFR

June 1st, 2021, 12:56 pm

Can anyone suggest references on the calculation of exposures and xVA using RFR?
 
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Re: Literature on EPE/ENE calculations using RFR

June 3rd, 2021, 11:41 pm

Here is a fairly recent thread (January 2021) that may have some useful references for you:

EUR/USD X-Currency Swap Risks (XVA) (General Forum)

You can also Google online with a focus on some of the large consulting firms (e.g. Deloitte, PWC, etc) - you will find a number of white papers and guides to XVA that way. Risk.net is useful, but expensive - if you are working, you may have access through your employer/group - worth an ask.
 
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xnick
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Joined: August 7th, 2015, 9:16 pm

Re: Literature on EPE/ENE calculations using RFR

June 4th, 2021, 12:01 am

Thanks for the link and the tip. Somehow I struggled to find anything related to exposure calculations in case of RFR (risk free rate)-based products (e.g. cross-currency swaps). I'm mainly interested in the conventions around the treatment of the simulated rates for compounding along the exposure grid. The RFR pricing itself is a hot topic and there are plenty new papers on it, but couldn't find much on XVA.