IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789813272743_0008.html
   My bibliography  Save this book chapter

Typical Balance Sheet and Trade Relations of Banks and Implications for XVA

In: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis

Author

Listed:
  • Osamu Tsuchiya

Abstract

A typical financial institution engages with a range of counterparties. Typically, there are collateral arrangements with fellow financial institutions and larger funds and some major corporates. Also, deals done across different assets tend to have different maturities (with interest rates including cross-currency swaps being long dated and equities being short dated in nature). The different types of business arrangements and maturity profile of deals across assets have significant implications on the importance of XVA and also the computational challenges that one will face in implementing this. We thus wish to explore this topic here…

Suggested Citation

  • Osamu Tsuchiya, 2019. "Typical Balance Sheet and Trade Relations of Banks and Implications for XVA," World Scientific Book Chapters, in: A PRACTICAL APPROACH TO XVA The Evolution of Derivatives Valuation after the Financial Crisis, chapter 8, pages 127-145, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813272743_0008
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789813272743_0008
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789813272743_0008
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G01 - Financial Economics - - General - - - Financial Crises

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789813272743_0008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.