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Wealth Transfers, Indifference Pricing, and XVA Compression Schemes

Author

Listed:
  • Claudio Albanese
  • Marc Chataigner

    (UEVE - Université d'Évry-Val-d'Essonne, LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Stéphane Crépey

    (LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

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Suggested Citation

  • Claudio Albanese & Marc Chataigner & Stéphane Crépey, 2020. "Wealth Transfers, Indifference Pricing, and XVA Compression Schemes," Post-Print hal-03910047, HAL.
    • Handle: RePEc:hal:journl:hal-03910047
    Note: View the original document on HAL open archive server: https://hal.science/hal-03910047v1
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    References listed on IDEAS

    as
    1. Claudio Albanese & Damiano Brigo & Frank Oertel, 2013. "Restructuring Counterparty Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-29.
    2. Gottardi, Piero, 1995. "An Analysis of the Conditions for the Validity of Modigliani-Miller Theorem with Incomplete Markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 5(2), pages 191-207, March.
    3. Baron, David P, 1976. "Default Risk and the Modigliani-Miller Theorem: A Synthesis," American Economic Review, American Economic Association, vol. 66(1), pages 204-212, March.
    4. Hagen, Kare P, 1976. "Default Risk, Homemade Leverage, and the Modigliani-Miller Theorem: Note," American Economic Review, American Economic Association, vol. 66(1), pages 199-203, March.
    5. William R. Cline, 2015. "Testing the Modigliani-Miller Theorem of Capital Structure Irrelevance for Banks," Working Paper Series WP15-8, Peterson Institute for International Economics.
    6. Claudio Albanese & Toufik Bellaj & Guillaume Gimonet & Giacomo Pietronero, 2011. "Coherent global market simulations and securitization measures for counterparty credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 1-20.
    7. Andrew Green & Chris Kenyon, 2014. "KVA: Capital Valuation Adjustment," Papers 1405.0515, arXiv.org, revised Oct 2014.
    8. Chris Kenyon & Andrew Green, 2014. "Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning," Papers 1412.5332, arXiv.org, revised Dec 2014.
    9. Lokman A. Abbas-Turki & Stéphane Crépey & Babacar Diallo, 2018. "Xva Principles, Nested Monte Carlo Strategies, And Gpu Optimizations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-40, September.
    10. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
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