从资产负债表分析XVA
XVA Analysis From the Balance Sheet
摘要：
XVA表示自2007- 09年金融危机以来应用于金融衍生品的各种交易对手风险相关估值调整。我们从资产负债表的角度来分析XVA资本成本策略，这是确定XVA术语的经济含义的关键。我们的方法首先详细说明了一个静态设置，明确解决。然后将其插入真实衍生品银行投资组合的动态和交易增量环境中。相应的资本成本XVA策略确保银行股东的下鞅权益过程与其风险资本的目标最低要求比率相对应，在交易之间和整个交易期间保持一致。该策略基于前向/后向递归公式，可以在整个银行资产负债表环境中使用GPU计算结合深度学习回归方法高效求解。数值案例研究强调了随后的路径XVA计算的可操作性和附加值。
英文摘要：
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis. We root a cost-of-capital XVA strategy in a balance sheet perspective which is key in identifying the economic meaning of the XVA terms. Our approach is first detailed in a static setup that is solved explicitly. It is then plugged in the dynamic and trade incremental context of a real derivative banking portfolio. The corresponding cost-of-capital XVA strategy ensures to bank shareholders a submartingale equity process corresponding to a target hurdle rate on their capital at risk, consistently between and throughout deals. Set on a forward/backward SDE formulation, this strategy can be solved efficiently using GPU computing combined with deep learning regression methods in a whole bank balance sheet context. A numerical case study emphasizes the workability and added value of the ensuing pathwise XVA computations.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
