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DROP XVA

DROP XVA implements Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead.

Component Packages

  • Basel DROP XVA Basel Package implements the XVA Based Basel Accounting Measures.

  • Definition DROP XVA Definition Package holds the XVA Definition - Close Out, Universe.

  • Derivative DROP XVA Derivative Package implements the Burgard Kjaer Dynamic Portfolio Replication.

  • Dynamics DROP XVA Dynamics Package implements the XVA Dynamics - Settings and Evolution.

  • Gross DROP XVA Gross Package implements the XVA Gross Adiabat Exposure Aggregation.

  • Hypothecation DROP XVA Hypothecation Package implements the XVA Hypothecation Group Amount Estimation.

  • Netting DROP XVA Netting Package holds the Credit/Debt/Funding Netting Groups.

  • PDE DROP XVA PDE Package implements the Burgard Kjaer PDE Evolution Scheme.

  • Proto DROP XVA Proto Package contains the Collateral, Counter Party, Netting Groups.

  • Settings DROP XVA Settings Package holds the XVA Group and Path Settings.

  • Strategy DROP XVA Strategy Package contains the Replication Strategy Based Funding/Netting Group.

  • Topology DROP XVA Topology Package holds the Collateral, Credit/Debt, Funding Topologies.

  • Vertex DROP XVA Vertex Package implements the XVA Hypothecation Group Vertex Generators.

References

  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 eSSRN

  • Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management, and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301 eSSRN

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 eSSRN

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN

  • Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN

  • BCBS (2012): Consultative Document: Application of Own Credit Risk Adjustments to Derivatives Basel Committee on Banking Supervision

  • BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives https://www.bis.org/bcbs/publ/d317.pdf

  • Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87

  • Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

  • Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN

  • Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

  • Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

  • Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties Journal of Credit Risk 5 (4) 3-27

DROP Specifications