英文标题：
《Behavioural effects on XVA》
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作者：
Chris Kenyon and Hayato Iida
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最新提交年份：
2018
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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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中文摘要：
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XVA通常对交易对手独立性的定价假设。考虑银行通过CCP对冲客户交易的典型案例。客户违约时，对冲（影响）将被移除（重新平衡）。另一方面，如果对冲对手违约，对冲将被替换。因此，如果对冲需要初始保证金，那么驱动MVA的违约概率来自客户，而不是对冲对手。这与通常的假设相反，在通常的假设中，交易对手的XVAs是独立计算的。替换对冲对手意味着对冲方的多重CVA成本需要包含在内。由于对冲交易通常处于无风险中期（或更糟），这些成本由客户方支付，并且必须在知道替代对冲交易对手之前进行计算。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几乎与CCP无关。对KVA和FVA的影响类似于对MVA的影响。我们提供了一个理论框架，包括匿名交易对手和数字示例。单独考虑交易对手对XVA进行定价是不够的，必须考虑其行为。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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