Using a continuous time, structural model of a dealer-bank, we derive fair value equations for credit risky financial products that can not be perfectly hedged, fully taking into account the impact the contracts have on the dealer-bank's earnings volatility and, consequently, their solvency and...

A common shortcut to forecasting initial margin requirements and margin valuation adjustments that are aligned with the International Swaps and Derivatives Association's Standard Initial Margin Model relies on simulating and recalibrating value-at-risk quantiles. Doing so largely avoids costly...

In this paper, a continuous-time, structural model of a dealer-bank is presented to derive fair value equations for credit-risky financial products that are not perfectly hedged. The impact these contracts have on the dealer-bank's earnings volatility, and consequently, their solvency and...

This paper is the second of a multi-part series on the calibration of the one-factor Hull-White short rate model for the purpose of computing CVAs (and xVAs) with an xVA system. The first part introduces an atypical bootstrapping scheme for the calibration of the short rate volatility. The...