XVA analysis from the balance sheet-Reference-Cited by-同舟云学术

XVA analysis from the balance sheet

Published:2020-10-16 Issue:1 Volume:21 Page:99-123
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Albanese Claudio¹,Crépey Stéphane²,Hoskinson Rodney³,Saadeddine Bouazza²⁴

Affiliation:

1. Global Valuation ltd, London, UK

2. LaMME, Paris-Saclay/Univ Evry, Evry, France

3. ANZ Banking Group, Singapore, Singapore

4. Quantitative Research GMD/GMT Credit Agricole CIB, Paris, France

Funder

CIFRE

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1817533

Reference48 articles.

1. XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS

2. Albanese, C. and Crépey, S., The cost-of-capital XVA approach in continuous time. Working Paper, 2020. Available online at: https://math.maths.univ-evry.fr/crepey.

3. XVA metrics for CCP optimization

4. Funding Value Adjustments

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