Behavioural effects on XVA
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References listed on IDEAS
- Andrew Green & Chris Kenyon, 2014. "KVA: Capital Valuation Adjustment," Papers 1405.0515, arXiv.org, revised Oct 2014.
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Cited by:
- Albanese Claudio & Armenti Yannick & Crépey Stéphane, 2020.
"XVA metrics for CCP optimization,"
Statistics & Risk Modeling, De Gruyter, vol. 37(1-2), pages 25-53, January.
- Claudio Albanese & Yannick Armenti & Stéphane Crépey, 2020. "XVA Metrics for CCP Optimisation," Post-Print hal-03910114, HAL.
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