英文标题：
《Robust XVA》
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作者：
Maxim Bichuch, Agostino Capponi, Stephan Sturm
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最新提交年份：
2020
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英文摘要：
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by taking a position in defaultable bonds. The investor does not know the return rate of her counterparty\'s bond, but is confident that it lies within an uncertainty interval. We derive both upper and lower bounds for the XVA process of the portfolio, and show that these bounds may be recovered as solutions of nonlinear ordinary differential equations. The presence of collateralization and closeout payoffs leads to important differences with respect to classical credit risk valuation. The value of the super-replicating portfolio cannot be directly obtained by plugging one of the extremes of the uncertainty interval in the valuation equation, but rather depends on the relation between the XVA replicating portfolio and the close-out value throughout the life of the transaction. Our comparative statics analysis indicates that credit contagion has a nonlinear effect on the replication strategies and on the XVA.
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中文摘要：
我们引入了一个无套利的框架来进行稳健的估值调整。投资者与风险交易对手交易信用违约掉期投资组合，并通过持有可违约债券来对冲信用风险。投资者不知道其交易对手债券的回报率，但相信其处于不确定区间内。我们推导了投资组合的XVA过程的上界和下界，并证明这些上界可以作为非线性常微分方程的解来恢复。抵押和平仓收益的存在导致了与经典信用风险评估的重要差异。超级复制投资组合的价值不能通过在估值方程中插入不确定性区间的一个极值直接获得，而是取决于XVA复制投资组合与整个交易生命周期内的平仓价值之间的关系。我们的比较静态分析表明，信贷传染对复制策略和XVA具有非线性影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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