# Questions tagged [xva]

The tag has no usage guidance.

18 questions
Filter by
Sorted by
Tagged with
41 views

### Regulation around XVA for Commodity Firms

This is more of a Regulation topic than a pure Quant one. The Basel Committee on Banking Supervision (BCBS) has formally recognized CVA by including its risk management as part of the Fundamental ...
• 111
44 views

### Different XVA Frameworks

I was wondering about the different possibilities about implement an XVA framework within a firm to calculate the different components. As far as I understand one of the main methodologies is the one ...
• 61
90 views

### Why is ColVA a negative XVA adjustment?

The expression for ColVA is usually written as something similar to this: $ColVA= -\int_{t}^{T} D(t,u) E_{t}\Big[ s_{X}(u)X(u)\Big]du$ Where D is the discount, $s_{x}$ the spread at which the ...
• 61
26 views

### Quantlib IndexManager

I am doing some research on how to leverage QuantLib for calculating XVAs in Python and I am now struggling to understand something. Basically, I would like to simulate n paths. Each one of the paths ...
89 views

### Confusion About PFE Calculation and XVA Pricing Engine's Exclusive Reliance on Parameter Simulation

Potential Future Exposure (a credit risk metric) is calculated using $$PFE(\tau) = \text{max}\Big(0, \mathcal{P}_{derivative}(\tau) - CVA(\tau)\Big)$$, where $\mathcal{P}$ is the price / fair value / ...
111 views

### 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!
• 346
1 vote
158 views

### 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: ...
• 7,005
1 vote
35 views

### 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 ...
• 51
582 views

### 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 ...
1 vote
743 views

### 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 ...
• 13
1 vote
391 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....
• 11
1 vote
1k 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 vote
218 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 ...
• 71
2k views

### 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,
• 838
277 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 ...
• 71
1 vote
102 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 ...