Consistent XVA Metrics Part I: Single-Currency
23 Pages Posted: 15 Mar 2017 Last revised: 10 Jun 2017
Date Written: March 17, 2017
We present a consistent framework for computing shareholder and firm values of derivative portfolios in the presence of collateral, counterparty risk and funding costs in a single currency economy with stochastic interest rates and spot assets with local volatility. The follow-up paper Kjaer extends this setup to a multi-currency economy and the resulting valuation adjustments have been implemented in the forthcoming Bloomberg MARS XVA product.
Keywords: Shareholder and Firm Values, Valuation Adjustments, Counterparty Risk, Collateral, CSA Discounting, Bloomberg MARS XVA
JEL Classification: G13
Suggested Citation: Suggested Citation