Client engineering of XVA – Risk.net

CLICK HERE TO VIEW THE PDF

Crises challenge client XVA management when continuous collateralisation is not possible, because a derivative locks in the client credit level and the provider’s funding level, on the trade date, for the life of the trade. Chris Kenyon prices XVA reduction strategies from the client point of view, comparing multiple-trade strategies using mandatory breaks or restructuring, with modifications of a single trade using a reset

XVAs are not immutable: clients can change

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

Source link

Add a Comment