Structured XVAs
32 Pages Posted: 22 Nov 2022 Last revised: 16 Jan 2023
Date Written: January 15, 2023
Abstract
Using a continuous time, structural model of a dealer-bank, we derive fair value equations for credit risky financial products that can not be perfectly hedged, fully taking into account the impact the contracts have on the dealer-bank's earnings volatility and, consequently, their solvency and financing costs.
Keywords: Derivatives, XVA, Jump-Diffusion, Credit Valuation Adjustments, Capital Valuation Adjustment, Funding Valuation Adjustment, Risk Capital, Structural Model, Default Correlation
JEL Classification: G12, G13, G2, G24, G20, G21, G3, G30, G31, G32, G33
Suggested Citation: Suggested Citation
Renzitti, Stefano, Structured XVAs (January 15, 2023). Available at SSRN: https://ssrn.com/abstract=4281817 or http://dx.doi.org/10.2139/ssrn.4281817
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.