英文标题：
《A unified approach to xVA with CSA discounting and initial margin》
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作者：
Francesca Biagini and Alessandro Gnoatto and Immacolata Oliva
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最新提交年份：
2021
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英文摘要：
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-office desk of the bank uses trade-specific discount curves (CSA discounting) which differ from the discount rate adopted by the xVA desk. Finally, we clarify the impact of aggregation of several sub-portfolios of trades on the xVA-valuation of the resulting global portfolio and study related non-linearity effects.
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中文摘要：
在本文中，我们沿着三个方向扩展了关于xVA的现有文献。首先，我们增强了当前基于BSDE的xVA框架，以包括违约情况下的初始保证金。接下来，我们解决了当银行前台使用与xVA前台采用的贴现率不同的特定交易贴现曲线（CSA贴现）时出现的一致性问题。最后，我们阐明了几个交易子投资组合的合并对最终全球投资组合的xVA估值的影响，并研究了相关的非线性效应。
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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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