Robust XVA-Reference-Cited by-同舟云学术

Robust XVA

Published:2020-03-12 Issue:3 Volume:30 Page:738-781
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Bichuch Maxim¹^ORCID,Capponi Agostino²^ORCID,Sturm Stephan³^ORCID

Affiliation:

1. Department of Applied Mathematics and Statistics Johns Hopkins University Baltimore Maryland

2. Industrial Engineering and Operations Research Department Columbia University New York City New York

3. Department of Mathematical Sciences Worcester Polytechnic Institute Worcester Massachusetts

Funder

National Science Foundation

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12260

Reference51 articles.

1. Liquidity risk of corporate bond returns: conditional approach

2. Albanese C. &Andersen L.(2014).Accounting for OTC Derivatives: Funding adjustments and the re‐hypothecation option. Working Paper. Retrieved fromhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955.

3. Albanese C. &Crépey C.(2018).XVA analysis from the balance sheet. Retrieved fromhttps://www.maths.univ‐evry.fr/crepey/papers/KVA‐FVA‐I‐REVISED.pdf.

4. Albanese C. & Crépey S.(2019).Capital valuation adjustment and funding valuation adjustment. Working Paper. Retrieved fromhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2745909.

5. Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

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