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Quantitative Finance · Glossaire

Qu'est-ce que « XVA charge » ?

Definition 20.9 Rates, Credit, XVA and Risk · Chapitre 20 — The Valuation-Adjustment Desk

The XVA charge is the amount the XVA desk takes from the originating desk when a trade is booked: the trade’s incremental adjustments, paid upfront or converted into a running spread on the trade, charge=XVA/(N⋅A)\text{charge} = \mathrm{XVA}/(N\cdot A) with AA the trade’s annuity.

Expected exposure of the twenty-year swap on which the bank receives fixed from the unrated client: it peaks after about five years and runs off over the remaining fifteen. Data: the chapter’s tutorial.
Figure 20.4. Expected exposure of the twenty-year swap on which the bank receives fixed from the unrated client: it peaks after about five years and runs off over the remaining fifteen. Data: the chapter’s tutorial.

Exemples

Example 20.10 (The twenty-year quote)

The client receives floating and pays the par rate of 4.11% on USD 100 million for twenty years; no CSA. On 4 000 paths the bank’s expected exposure peaks at USD 5.65 million after five years (Figure 20.4). With the proxy curve, the CVA is USD 1 649 494; funding at 80 basis points costs 343 872; with capital charged at a 10% hurdle (SA-CCR at a 100% risk weight, and CVA capital at the 7% risk weight for unrated industrials), the KVA is 3 141 826. Over the swap’s annuity of 13.67, that is 12.1, 2.5 and 23.0 basis points a year: 37.6 in all.

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