Lixin Wu, Hong Kong University of Science and Technology, xVA: Definition, Evaluation and Risk Management
SAS 2106xVA is a collection of valuation adjustments made to the classical risk-neutral valuation of a derivative or derivatives portfolio for pricing or for accounting purposes, and it has been a matter of debate and controversy. This presentation is intended to clarify the notion of xVA as well as the usage of the xVA items in…