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Quantitative Finance · Glossaire

Qu'est-ce que « XVA desk » ?

Definition 20.1 Rates, Credit, XVA and Risk · Chapitre 20 — The Valuation-Adjustment Desk

An XVA desk is the trading desk that owns a bank’s valuation adjustments: it charges each new trade its adjustments, holds the resulting counterparty, funding and capital risks on its book, hedges what can be hedged, and reports the adjustments’ changes as its P&L.

The XVA desk between the trading desks and the markets: desks pass it the counterparty, funding and capital risks of their trades and pay a charge; it hedges credit and market risk in the market and settles funding and capital with the treasury. Schematic.
Figure 20.1. The XVA desk between the trading desks and the markets: desks pass it the counterparty, funding and capital risks of their trades and pay a charge; it hedges credit and market risk in the market and settles funding and capital with the treasury. Schematic.
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