Questions tagged [xva]

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4
votes
1answer
391 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,
3
votes
2answers
260 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
253 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 ...
1
vote
2answers
176 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
3answers
125 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
vote
1answer
79 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 ...
1
vote
0answers
37 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 ...
0
votes
1answer
108 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 ...
0
votes
0answers
44 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 ...