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An Explicit Scheme for Pathwise XVA Computations
Motivated by the equations of cross valuation adjustments (XVAs) in the realistic case where capital is deemed fungible as a source of funding for variation margin, we introduce a simulation/regression scheme for a class of anticipated BSDEs, where the coefficient entails a conditional expected shortfall of the martingale part of the solution.
Pathwise CVA Regressions With Oversimulated Defaults
We consider the computation by simulation and neural net regression of conditional expectations, or more general elicitable statistics, of functionals of processes $(X, Y )$.
XVA Analysis From the Balance Sheet
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis.
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