Client engineering of XVA

Chris Kenyon
02 Dec 2020

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Crises challenge client XVA management when continuous collateralisation is not possible, because a derivative locks in the client credit level and the provider’s funding level, on the trade date, for the life of the trade. Chris Kenyon prices XVA reduction strategies from the client point of view, comparing multiple-trade strategies using mandatory breaks or restructuring, with modifications of a single trade using a reset

XVAs are not immutable: clients can change

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