对XVA的行为影响
Behavioural effects on XVA
摘要：
银行行为对XVA定价很重要，因为它将不同的交易对手联系在一起，从而打破了通常XVA定价的交易对手独立性假设。考虑一个银行通过CCP对冲客户交易的典型案例。在客户违约时，对冲（影响）将被移除（重新平衡）。另一方面，如果对冲交易对手违约，对冲将被替换。因此，如果套期保值需要初始保证金，那么驱动MVA的违约概率来自客户，而不是来自套期保值交易对手。这与交易对手XVA相互独立计算的通常假设相反。更换对冲交易对手意味着需要计入对冲方的多个CVA成本。由于对冲交易通常处于无风险中期（或更糟），这些成本由客户端支付，并且必须在替换对冲对手方已知之前计算。我们称这些交易对手为匿名交易对手。对CVA和MVA的影响通常是排他性的，因为MVA在很大程度上消除了CVA，而CVA与CCP几乎无关。对KVA和FVA的影响与对MVA的影响相似。我们提供了一个理论框架，包括匿名交易对手和数值例子。单独考虑交易对手对XVA进行定价是不够的，必须考虑交易行为。
英文摘要：
Bank behaviour is important for pricing XVA because it links different counterparties and thus breaks the usual XVA pricing assumption of counterparty independence. Consider a typical case of a bank hedging a client trade via a CCP. On client default the hedge (effects) will be removed (rebalanced). On the other hand, if the hedge counterparty defaults the hedge will be replaced. Thus if the hedge required initial margin then the default probability driving MVA is from the client not from the hedge counterparty. This is the opposite of usual assumptions where counterparty XVAs are computed independent of each other. Replacement of the hedge counterparty means multiple CVA costs on the hedge side need inclusion. Since hedge trades are generally at riskless mid (or worse) these costs are paid on the client side, and must be calculated before the replacement hedge counterparties are known. We call these counterparties anonymous counterparties. The effects on CVA and MVA will generally be exclusive because MVA largely removes CVA, and CVA is hardly relevant for CCPs. Effects on KVA and FVA will resemble those on MVA. We provide a theoretical framework, including anonymous counterparties, and numerical examples. Pricing XVA by considering counterparties in isolation is inadequate and behaviour must be taken into account.
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