Questions tagged [xva]

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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,
3
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0answers
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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 ...
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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 ...
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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 ...