Questions tagged [xva]
The xva tag has no usage guidance.
9
questions
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0answers
59 views
Expected Exposure of FX Forward
I have a hard time finding a tutorial on how to calculate the Expected Exposure for a CVA calculation of FX Forwards. I initially thought that I could assume that the Expected Exposure just equals the ...
1
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3answers
138 views
Why might a cross currency swap from EUR into USD have higher CVA than a cross currency swap from USD into EUR?
I was having a discussion with a colleague in the industry, who mentioned in passing that CVA on a cross currency swap from EUR into USD (pay EUR) is always higher than if paying USD and receiving EUR....
1
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2answers
196 views
Exposure At Default: Calculating the present value
In this numerical example, I can't figure out with which numbers (when using the PV formula) to calculate exposure at default (EAD) as shown in the table.
The EAD is the value of the discounted future ...
1
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1answer
87 views
How to construct a GBP FVA curve from a USD FVA curve
Our business funds itself in 2 currencies, USD and ZAR. As a consequence we have a USD funding curve. I need to price a GBPZAR cross-currency swap (XIRS) against a counterparty with which we have no ...
4
votes
1answer
451 views
Good textbooks on xVA
I am looking for some good textbook to understand xVA and related calculations. Can you please suggest few?
Your pointer will be highly appreciated.
Many thanks,
0
votes
1answer
123 views
Optimising PnL on an interest rate swap
I recently just got asked the below question. Please help.
"You are about to execute a zero fixed rate vs. Float rate swap under daily cash margining with a client in a normal swap rate curve ...
1
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0answers
39 views
CVA for a portfolio of long and short options
I am looking to estimate the CVA/DVA for a portfolio of options.
For simplicity sake, let's assume there are two FX options in the portfolio, one long and one short. Both options have the same ...
3
votes
2answers
271 views
Discounting for XVA
I was thinking that since XVA is on uncollaterized exposure, we should be using LIBOR discounting environment. Why don't we do that?
3
votes
0answers
267 views
Hedging XVA sensitivities and funding risk
FVA is a hot topic today and I've been thinking on how its managed inside a treasury department.
Although the pricing/calculation is well covered in academic material and there is some sort of ...
