Efficient XVA management: pricing, hedging and allocation

Kenyon and Green show how certain technical elements simplify XVA management

Frustrated man at the blackboard during a maths class

CLICK HERE TO VIEW THE ARTICLE IN FULL

Banks must calculate and manage valuation adjustments (XVA)across their entire trading portfolio. XVA includes the effectsof credit (CVA,DVA), funding (FVA,MVA) (Burgard&Kjaer 2013; Green & Kenyon 2015a), capital (KVA) (Green, Kenyon & Dennis 2014) and tax (TVA) (Kenyon & Green 2015). XVA management includes allocation, hedging and pricing. Allocation refers to the allocation of XVA, and XVA hedging costs, to desks. Hedging costs require the computation of

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here