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


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

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