This document has not been cited yet.

1. A. Castagna (2012) The impossibility of DVA replication, Risk, November, 66–70.
   Paper not yet in RePEc: Add citation now
   
2. A. Green (2016) xVA: Credit, Funding and Capital Valuation Adjustments. The Wiley Finance.
   Paper not yet in RePEc: Add citation now
   

3. A. Green & C. Kenyon (2015) MVA: Initial margin valuation adjustment by replication and regression. Working paper, arXiv:1405.0508[q-fin.PR].

4. A. Green, C. Kenyon & C. Dennis (2014) KVA: Capital valuation adjustment, arXiv:1405.0515[q-fin.PR].

5. A. Pallavicini, D. Perini & D. Brigo (2011) Funding valuation adjustment: A consistent framework including CVA, DVA, collateral, netting rules and rehypothecation. Working paper, http://ssrn.com/abstract=1969114.

6. C. Albanese, L. Andersen & S. Iabichino (2015) FVA accounting, risk management and collateral trading, Risk, January, 64–69.
   Paper not yet in RePEc: Add citation now
   
7. C. Burgard & M. Kjaer (2011) Funding cost adjustments for derivatives, Asia Risk, November, 63–67.
   Paper not yet in RePEc: Add citation now
   

8. C. Li & L. Wu (2015) CVA and FVA under margining, Studies in Economics and Finance 32 (3), 298–321.

9. D. Brigo, A. Capponi & A. Pallavicini (2012) Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps, Mahtematical Finance 24 (1), 125–146.
   Paper not yet in RePEc: Add citation now
   

10. D. Brigo, A. Capponi, A. Pallavicini & D. Papatheodorou (2011) Collateral margining in arbitrage-free counterparty valuation adjustment including rehypotecation and netting, Working paper, http://ssrn.com/abstract=1744101.

11. FASB (2011) Accounting standards update. Financial Accounting Standards Board.
    Paper not yet in RePEc: Add citation now
    
12. Financial Conduct Authority (2014) Prudential sourcebook for banks, Building Societies and Investment Firms (BIPRU), http://fshandbook.info/FS/html/handbook/BIPRU.
    Paper not yet in RePEc: Add citation now
    
13. I. Ruiz (2013) FVA demystified: CVA, DVA, FVA and their interaction (Part I). Working paper, https://www.iruizconsulting.com/wp-content/uploads/2013/11/iRuiz_FVA_demystified.pdf.
    Paper not yet in RePEc: Add citation now
    
14. IASB (2012) IFRS 13 fair value measurement, International Accounting Standard Board.
    Paper not yet in RePEc: Add citation now
    
15. J. Gregory (2015) The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital. Third edition. Wiley.
    Paper not yet in RePEc: Add citation now
    

16. J. Harrison & S. Pliska (1981) Martingales and stochastic integrals in the theory of continuous trading, Stochastics Proceedings and Their Applications 11, 215–260.

17. J. Hull & A. White (2012) The FVA debate, Risk 25 (7), 83–85.
    Paper not yet in RePEc: Add citation now
    
18. J. Hull & A. White (2014) Valuing derivatives: Funding value adjustment and fair value, Financial Analysts Journal 70 (3), 46–56.
    Paper not yet in RePEc: Add citation now
    

19. L. Andersen, D. Duffie & Y. Song (2019) Funding value adjustments, Journal of Finance 74, 145–192.

20. L. Bo & A. Capponi (2013) Bilateral credit valuation adjustment for large credit derivatives portfolios, Finance and Stochastics 18 (2), 431–482.

21. L. Wu (2015) CVA and FVA to derivatives trades collateralized by cash, International Journal of Theoretical and Applied Finance 18 (5), 1550035 (22 pages).

22. M. Cameron (2013) The black art of FVA, Risk, April, 15–18.
    Paper not yet in RePEc: Add citation now
    
23. M. Levine (2014) It cost JPMorgan $1.5 billion to value its derivatives right. Bloomberg, https://www.bloomberg.com/view/articles/2014-01-15/it-cost-jpmorgan-1-5-billion-to-value-its-derivatives-right-draft.
    Paper not yet in RePEc: Add citation now
    
24. M. Morini & A. Prampolini (2010) Risky funding: A unified framework for counterparty and liquidity charges. Working paper, http://ssrn.com/abstract=1669930.
    Paper not yet in RePEc: Add citation now
    
25. N. Sherif (2015) FVA models overstate costs — Risk.net poll, Risk.net.
    Paper not yet in RePEc: Add citation now
    

26. P. Hagan & D. Woodward (1999) Markov interest rate models, Applied Mathematical Finance 6 (4), 233–260.

27. S. Crépey (2011) A BSDE approach to counterparty risk under funding constraints,
    Paper not yet in RePEc: Add citation now
    

28. S. Gabrielli, A. Pallavicini & S. Scoleri (2019) Funding adjustments in equity linear products, https://ssrn.com/abstract=3400025.

29. V. Piterbarg (2010) Funding beyond discounting: Collateral agreements and derivatives pricing, Risk, February, 97–102.
    Paper not yet in RePEc: Add citation now
    
30. W. Lou (2015) Funding in option pricing: The Black-Scholes framework extended, Risk, March, 1–6.
    Paper not yet in RePEc: Add citation now
    

1. The fundamental representation of pricing adjustments. (2025). Burnett, Benedict ; Piau, Benjamin ; McCrickerd, Ryan.
   In: Papers.
   RePEc:arx:papers:2503.14997.

   Full description at Econpapers || Download paper

2. Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask. (2025). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo.
   In: Papers.
   RePEc:arx:papers:2107.10377.

   Full description at Econpapers || Download paper

3. XVA modelling: validation, performance and model risk management. (2024). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05323-4.

   Full description at Econpapers || Download paper

4. Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk. (2024). Francisco, Juan Jose ; Buescu, Cristin.
   In: Papers.
   RePEc:arx:papers:2308.10568.

   Full description at Econpapers || Download paper

5. XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Simonella, Roberta ; Vazquez, Carlos.
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79.

   Full description at Econpapers || Download paper

6. Positive XVAs. (2022). Crepey, Stephane.
   In: Post-Print.
   RePEc:hal:journl:hal-03910135.

   Full description at Econpapers || Download paper

7. Mathematical Foundations of Regression Methods for the approximation of the Forward Initial Margin. (2022). Kun, Lucia Cipolina.
   In: Papers.
   RePEc:arx:papers:2002.04563.

   Full description at Econpapers || Download paper

8. XVA Analysis From the Balance Sheet. (2021). Albanese, Claudio ; Crepey, Stephane ; Hoskinson, Rodney ; Saadeddine, Bouazza.
   In: Post-Print.
   RePEc:hal:journl:hal-03910125.

   Full description at Econpapers || Download paper

9. A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options. (2021). Oosterlee, Cornelis ; Andersson, Kristoffer.
   In: Applied Mathematics and Computation.
   RePEc:eee:apmaco:v:408:y:2021:i:c:s0096300321004215.

   Full description at Econpapers || Download paper

10. Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model. (2021). Oosterlee, Cornelis ; Salvador, Beatriz.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:406:y:2021:i:c:s0096300321000473.

    Full description at Econpapers || Download paper

11. Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model. (2021). Oosterlee, Cornelis ; Salvador, Beatriz.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:391:y:2021:i:c:s0096300320304483.

    Full description at Econpapers || Download paper

12. xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT. (2020). Wu, Lixin ; Zhang, Dawei.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:23:y:2020:i:01:n:s0219024920500065.

    Full description at Econpapers || Download paper

13. When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments. (2020). Sabbagh, Wissal ; Crepey, Stephane ; Song, Shiqi.
    In: Post-Print.
    RePEc:hal:journl:hal-03910119.

    Full description at Econpapers || Download paper

14. Wealth Transfers, Indifference Pricing, and XVA Compression Schemes. (2020). Albanese, Claudio ; Crepey, Stephane ; Chataigner, Marc.
    In: Post-Print.
    RePEc:hal:journl:hal-03910047.

    Full description at Econpapers || Download paper

15. Robust XVA. (2020). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:3:p:738-781.

    Full description at Econpapers || Download paper

16. XVA Analysis From the Balance Sheet. (2020). Albanese, Claudio ; Crepey, Stephane ; Hoskinson, Rodney ; Saadeddine, Bouazza.
    In: Papers.
    RePEc:arx:papers:2009.00368.

    Full description at Econpapers || Download paper

17. Optimální způsob sjednání derivátu za přítomnosti rizika protistrany. (2019). Ediv, Jan.
    In: Politická ekonomie.
    RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1217:p:65-81.

    Full description at Econpapers || Download paper

18. Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Pallavicini, Andrea ; Brigo, Damiano ; Francischello, Marco.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805.

    Full description at Econpapers || Download paper

19. XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS. (2018). Crepey, Stephane ; Abbas-Turki, Lokman A ; Diallo, Babacar.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309.

    Full description at Econpapers || Download paper

20. A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral. (2018). Tumasyan, Hovik.
    In: MPRA Paper.
    RePEc:pra:mprapa:90806.

    Full description at Econpapers || Download paper

21. Capital and Funding. (2018). Albanese, Claudio ; Crepey, Stephane ; Caenazzo, Simone.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01764401.

    Full description at Econpapers || Download paper

22. Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives. (2018). Luo, Zhongmin ; Brummelhuis, Raymond.
    In: Papers.
    RePEc:arx:papers:1811.08038.

    Full description at Econpapers || Download paper

23. Corrected XVA Modelling Framework and Formulae for KVA and MVA. (2018). Vauhkonen, Antti.
    In: Papers.
    RePEc:arx:papers:1807.10924.

    Full description at Econpapers || Download paper

24. Behavioural effects on XVA. (2018). Iida, Hayato ; Kenyon, Chris.
    In: Papers.
    RePEc:arx:papers:1803.03477.

    Full description at Econpapers || Download paper

25. Efficient exposure computation by risk factor decomposition. (2018). Kandhai, Drona ; Reisinger, Christoph.
    In: Papers.
    RePEc:arx:papers:1608.01197.

    Full description at Econpapers || Download paper

26. BEHAVIORAL VALUE ADJUSTMENTS. (2017). Cogo, Riccardo ; Bissiri, Matteo.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500509.

    Full description at Econpapers || Download paper

27. Central Clearing Valuation Adjustment. (2017). Crepey, Stephane ; Yannick, Armenti .
    In: Working Papers.
    RePEc:hal:wpaper:hal-01169169.

    Full description at Econpapers || Download paper

28. An indifference approach to the cost of capital constraints: KVA and beyond. (2017). Pallavicini, Andrea ; Brigo, Damiano ; Francischello, Marco.
    In: Papers.
    RePEc:arx:papers:1708.05319.

    Full description at Econpapers || Download paper

29. Central Clearing Valuation Adjustment. (2017). St'ephane Cr'epey, ; Yannick, Armenti .
    In: Papers.
    RePEc:arx:papers:1506.08595.

    Full description at Econpapers || Download paper

30. Capital Valuation Adjustment and Funding Valuation Adjustment. (2016). Albanese, Claudio ; Crepey, Stephane ; Caenazzo, Simone.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01285363.

    Full description at Econpapers || Download paper

31. XVA at the Exercise Boundary. (2016). Kenyon, Chris ; Green, Andrew.
    In: Papers.
    RePEc:arx:papers:1610.00256.

    Full description at Econpapers || Download paper

32. Managing counterparty credit risk via BSDEs. (2016). Richter, Anja ; Lesniewski, Andrew.
    In: Papers.
    RePEc:arx:papers:1608.03237.

    Full description at Econpapers || Download paper

33. Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework. (2016). Lou, Wujiang.
    In: Papers.
    RePEc:arx:papers:1604.05406.

    Full description at Econpapers || Download paper

34. Capital Valuation Adjustment and Funding Valuation Adjustment. (2016). Albanese, Claudio ; Cr, St'Ephane ; Caenazzo, Simone.
    In: Papers.
    RePEc:arx:papers:1603.03012.

    Full description at Econpapers || Download paper

35. MVA Transfer Pricing. (2016). Lou, Wujiang.
    In: Papers.
    RePEc:arx:papers:1512.07337.

    Full description at Econpapers || Download paper

36. Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation. (2015). Lou, Wujiang.
    In: Papers.
    RePEc:arx:papers:1512.07340.

    Full description at Econpapers || Download paper

37. Which measure for PFE? The Risk Appetite Measure, A. (2015). Berrahoui, Mourad ; Kenyon, Chris ; Green, Andrew.
    In: Papers.
    RePEc:arx:papers:1512.06247.

    Full description at Econpapers || Download paper

38. Dirac Processes and Default Risk. (2015). Kenyon, Chris ; Green, Andrew.
    In: Papers.
    RePEc:arx:papers:1504.04581.

    Full description at Econpapers || Download paper

39. Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences. (2015). Kenyon, Chris ; Green, Andrew.
    In: Papers.
    RePEc:arx:papers:1407.3201.

    Full description at Econpapers || Download paper

40. MVA: Initial Margin Valuation Adjustment by Replication and Regression. (2015). Kenyon, Chris ; Green, Andrew.
    In: Papers.
    RePEc:arx:papers:1405.0508.

    Full description at Econpapers || Download paper

41. VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution. (2014). Kenyon, Chris ; Green, Andrew.
    In: Papers.
    RePEc:arx:papers:1405.7611.

    Full description at Econpapers || Download paper

42. KVA: Capital Valuation Adjustment. (2014). Kenyon, Chris ; Green, Andrew.
    In: Papers.
    RePEc:arx:papers:1405.0515.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 19:28:16 || Missing content? Let us know