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- W2887297564 abstract "We introduce an arbitrage-free framework for robust valuation adjustments. Aninvestor trades a credit default swap portfolio with a risky counterparty, andhedges credit risk by taking a position in defaultable bonds. The investor doesnot know the return rate of her counterparty's bond, but is confident that itlies within an uncertainty interval. We derive both upper and lower bounds forthe XVA process of the portfolio, and show that these bounds may be recoveredas solutions of nonlinear ordinary differential equations. The presence ofcollateralization and closeout payoffs leads to important differences withrespect to classical credit risk valuation. The value of the super-replicatingportfolio cannot be directly obtained by plugging one of the extremes of theuncertainty interval in the valuation equation, but rather depends on therelation between the XVA replicating portfolio and the close-out valuethroughout the life of the transaction. Our comparative statics analysisindicates that credit contagion has a nonlinear effect on the replicationstrategies and on the XVA." @default.
- W2887297564 created "2018-08-22" @default.
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- W2887297564 date "2018-01-01" @default.
- W2887297564 modified "2023-09-23" @default.
- W2887297564 title "Robust XVA" @default.
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- W2887297564 doi "https://doi.org/10.2139/ssrn.3124586" @default.
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