XVA modelling: validation, performance and model risk management
The article explores the impact of XVA on derivatives pricing, emphasizing its model risk and computational effort, and offers a guide for creating a strong model for collateralized exposure and XVA.
Featured in No. 88 on 12 Mar 2025 · · 4 citations today · published in Annals of Operations Research
- Released
- 21 Jul 2021
- First featured
- No. 88 · 12 Mar 2025
- Citations (Semantic Scholar)
- 4
- Influential citations
- 0
- Published in
- Annals of Operations Research
- Shares when featured
- 312
- Identifier
- doi:10.1007/s10479-023-05323-4
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).