Questions tagged [xva]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
2 votes
0 answers

Relationship between FTP curve and FVA (Funding Value Adjustment) [closed]

By any way, does anyone know the relation of FTP curves constructed in bank to FVA (Funding Value Adjustments). It'll be good if anyone could share some references here! Thanks!
Benedict's user avatar
  • 316
1 vote
1 answer

Understanding the cost involved in collateralization of existing OTC business

I am looking for a qualitative assessment regarding the (negotiable) 'cost' incurred when two counterparties agree on collateralizing existing derivatives business. I think the core of my question is: ...
Kermittfrog's user avatar
  • 6,425
1 vote
0 answers

FVA demonstration? [duplicate]

In the well-known article by Mr. Piterbarg "Funding Beyond Discounting". he demonstrates that the price of a derivative product in a multi-curve universe: Who also expresses it but without ...
SIMO's user avatar
  • 51
3 votes
2 answers

2 Ways to Define/Calculate "FVA"? - Same or Different? (Simple XVA Question)

I've got a very simple question on 2 different ways of defining or calculating the FVA of an uncollateralized swap. One definition I've often seen is that the FVA is the difference in the net present ...
Curiosity's user avatar
1 vote
2 answers

Validation of XVA models

Hey what is the validation of XVA models (CVA, FVA etc)? As we know XVA calculation is rather complex problem (simulation, Valuation, aggregation) so what steps should be taken to check if the model ...
Ramsey's user avatar
  • 13
1 vote
3 answers

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....
Alex's user avatar
  • 11
1 vote
2 answers

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 ...
user avatar
1 vote
1 answer

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 ...
acchan94's user avatar
6 votes
3 answers

Good textbooks on xVA [closed]

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,
Bogaso's user avatar
  • 752
0 votes
1 answer

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 ...
acchan94's user avatar
1 vote
0 answers

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 ...
user078913's user avatar
3 votes
2 answers

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?
abhinav mehta's user avatar
3 votes
0 answers

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 ...
Jose Pedro Melo's user avatar