A Unified Approach to xVA with CSA Discounting and Initial Margin
A Unified Approach to xVA with CSA Discounting and Initial Margin
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-office desk of the bank uses trade-specific discount curves (credit support annex …