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Persistent link: https://www.econbiz.de/10011969094
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive backward stochastic differential equations (BSDEs) associated with the...
Persistent link: https://www.econbiz.de/10012855273