XVA在危机和正常情况下的客户工程：重组、强制中断和重置
Client engineering of XVA in crisis and normality: Restructuring, Mandatory Breaks and Resets
摘要：
当不可能连续抵押时，危机挑战客户XVA管理，因为衍生品在交易日锁定客户信用水平和提供商的资金水平，在交易期间。我们从客户的角度对XVA减少策略进行定价，将使用强制性中断或重组的多个交易策略与使用重置的单个交易修改进行比较。我们分析了以前的危机和CDS的复苏，为我们的数字例子提供信息。在我们的数字示例中，如果没有信用恢复，重置的有效性可以是强制中断/重组的两倍。当复苏至少是信贷冲击的1/3时，强制性破产/重组可能更有效。
英文摘要：
Crises challenge client XVA management when continuous collateralization is not possible because a derivative locks in the client credit level and the provider's funding level, on the trade date, for the life of the trade. We price XVA reduction strategies from the client point of view comparing multiple trade strategies using Mandatory Breaks or Restructuring, to modifications of a single trade using a Reset. We analyse previous crises and recovery of CDS to inform our numerical examples. In our numerical examples Resets can be twice as effective as Mandatory Break/Restructuring if there is no credit recovery. When recovery is at least 1/3 of the credit shock then Mandatory Break/Restructuring can be more effective.
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。
