Kenyon, Chris;
(2020)
Client engineering of XVA: A client’s guide to reducing XVA in times of need.
Risk.net
pp. 1-6.
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Abstract
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.
| Type: | Article |
|---|---|
| Title: | Client engineering of XVA: A client’s guide to reducing XVA in times of need |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | https://www.risk.net/cutting-edge/banking/7717466/... |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher's terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10140251 |
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