XVA metrics for CCP optimization
Author:
Affiliation:
1. Global Valuation Ltd , London , United Kingdom
2. BNP Paribas , RISK Department , Grands Moulins de Pantin, 93500 , Pantin , France
3. LaMME , Univ Evry , CNRS, Université Paris-Saclay, 91037 , Evry , France
Abstract
Publisher
Walter de Gruyter GmbH
Subject
Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability
Link
https://www.degruyter.com/document/doi/10.1515/strm-2017-0034/pdf
Reference34 articles.
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3. C. Albanese, S. Crépey, R. Hoskinson and B. Saadeddine, XVA analysis from the balance sheet, preprint (2019), https://math.maths.univ-evry.fr/crepey.
4. L. Andersen and A. Dickinson, Funding and credit risk with locally elliptical portfolio processes: An application to central counterparties, J. Financ. Market Infrastruc. 7 (2019), no. 4, 27–70.
5. L. Andersen, M. Pykhtin and A. Sokol, Rethinking the margin period of risk, J. Credit Risk 13 (2017), no. 1, 1–45.
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