XVA metrics for CCP optimization - Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane (Statistics & risk modeling, 2020)
Keywords: 60G44; 91B25; 91B26; 91B30; 91B70; 91B74; 91G20; 91G40; 91G60; 91G80; Central counterparty (CCP); cost of capital (KVA); cost of funding initial margin (MVA); default fund; initial margin; Quantitative Finance; cost of funding initial margin (MVA); initial margin; cost of capital (KVA); Central counterparty (CCP); default fund; Central counterparty (CCP) initial margin default fund cost of funding initial margin (MVA) cost of capital (KVA) Mathematics Subject Classification: 60G44 91B25 91B26 91B30 91B70 91B74 91G20 91G40 91G60 91G80 JEL Classification: G13 G14 G28 G33 M41