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The corresponding HVA reconciles a global fair valuation model with the local models used by the different desks of the bank. Model risk and dynamic hedging frictions indeed deserve a reserve, but a risk-adjusted one, so not only an HVA, but also a contribution to the KVA of the bank. The orders of magnitude of the effects involved suggest that local models should not so much be managed via reserves, as excluded altogether.", "genre": "", "repository": "arXiv", "archiveID": "arXiv:2205.11834", "place": "", "date": "2024-08-28", "series": "", "seriesNumber": "", "DOI": "10.48550/arXiv.2205.11834", "citationKey": "", "url": "http://arxiv.org/abs/2205.11834", "accessDate": "2025-06-01T12:48:08Z", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "arXiv.org", "callNumber": "", "rights": "", "extra": "arXiv:2205.11834 [q-fin]", "tags": [ { "tag": "Mathematics - Probability", "type": 1 }, { "tag": "Quantitative Finance - Computational Finance", "type": 1 }, { "tag": "Quantitative Finance - Pricing of Securities", "type": 1 } ], "collections": [ "J5D8HGAY" ], "relations": {}, "dateAdded": "2025-06-01T12:48:08Z", "dateModified": "2025-06-01T12:48:08Z" } }, { "key": "8D72VI97", "version": 1499, "library": { "type": "group", "id": 85966, "name": "Tools for computational finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/85966/items/8D72VI97", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance/items/8D72VI97", "type": "text/html" } }, "meta": { "createdByUser": { "id": 540195, "username": "ianbuckley", "name": "Ian Buckley", "links": { "alternate": { "href": "https://www.zotero.org/ianbuckley", "type": "text/html" } } }, "creatorSummary": "Burgard and Kjaer", "parsedDate": "2012-12-06", "numChildren": 0 }, "data": { "key": "8D72VI97", "version": 1499, "itemType": "preprint", "title": "Funding Costs, Funding Strategies", "creators": [ { "creatorType": "author", "firstName": "Christoph", "lastName": "Burgard" }, { "creatorType": "author", "firstName": "Mats", "lastName": "Kjaer" } ], "abstractNote": "The economic value of derivatives depends on the funding costs encountered by the issuer. In this paper we derive general relations between the costs of running specific funding strategies while the issuer is alive and the resulting windfalls or shortfalls upon the issuer default. This gives rise to generalisations to the classical bilateral CVA adjustment that include the cost of running specific funding strategies and sets the stage to discuss ways to mitigate these effects. 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Buckley", "links": { "alternate": { "href": "https://www.zotero.org/ianbuckley", "type": "text/html" } } }, "creatorSummary": "Hull and White", "parsedDate": "2014-03-01", "numChildren": 0 }, "data": { "key": "Y5B5GN8Q", "version": 1495, "itemType": "preprint", "title": "Valuing Derivatives: Funding Value Adjustments and Fair Value", "creators": [ { "creatorType": "author", "firstName": "John C.", "lastName": "Hull" }, { "creatorType": "author", "firstName": "Alan", "lastName": "White" } ], "abstractNote": "The authors examine whether a bank should make a funding value adjustment (FVA) when valuing derivatives. 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A thoroughly updated and expanded edition of the xVA challenge

The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments (‘xVAs’). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implications of xVA. The pricing and valuation of the different xVA terms has become a much studied topic and many aspects are in constant debate both in industry and academia.

Taking into account the nature of the underlying market dynamics and new regulatory environment, this book brings readers up to speed on the latest developments on the topic.

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Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management. Market practice around counterparty credit risk and credit and debit value adjustment (CVA and DVA)The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirementsThe impact of accounting requirements such as IFRS 13Recent thinking on the applications of funding, collateral, and capital adjustments (FVA, ColVA and KVA)The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of collateral, funding, and capital alongside counterparty risk. 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PT-symmetric quantum and classical systems have theoretical, experimental, and commercial applications, and have been the subject of many journal articles, PhD theses, conferences, and symposia. Carl Bender's work has influenced major advances in physics and generations of students.This book is an accessible entry point to PT symmetry, ideal for students and scientists looking to begin their own research projects in this field.", "series": "", "seriesNumber": "", "volume": "", "numberOfVolumes": "", "edition": "1 edition", "date": "Jan. 23 2019", "publisher": "World Scientific Pub Co Inc", "place": "Singapore ; Hackensack, NJ", "originalDate": "", "originalPublisher": "", "originalPlace": "", "format": "", "numPages": "468", "ISBN": "978-1-78634-668-1", "DOI": "", "citationKey": "", "url": "", "accessDate": "", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "PT Symmetry", "language": "English", "libraryCatalog": "Amazon", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [ "2XST52DF" ], "relations": {}, "dateAdded": "2019-03-04T17:48:11Z", "dateModified": "2019-03-04T17:48:11Z" } }, { "key": "H2H3FXLW", "version": 1481, "library": { "type": "group", "id": 85966, "name": "Tools for computational finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/85966/items/H2H3FXLW", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance/items/H2H3FXLW", "type": "text/html" } }, "meta": { "createdByUser": { "id": 540195, "username": "ianbuckley", "name": "Ian Buckley", "links": { "alternate": { "href": "https://www.zotero.org/ianbuckley", "type": "text/html" } } }, "creatorSummary": "Brody", "parsedDate": "2017-11", "numChildren": 0 }, "data": { "key": "H2H3FXLW", "version": 1481, "itemType": "journalArticle", "title": "PT-symmetry, indefinite metric, and nonlinear quantum mechanics", "creators": [ { "creatorType": "author", "firstName": "Dorje C.", "lastName": "Brody" } ], "abstractNote": "If a Hamiltonian of a quantum system is symmetric under space-time reflection, then the associated eigenvalues can be real. A conjugation operation for quantum states can then be defined in terms of space-time reflection, but the resulting Hilbert space inner product is not positive definite and gives rise to an interpretational difficulty. One way of resolving this difficulty is to introduce a superselection rule that excludes quantum states having negative norms. It is shown here that a quantum theory arising in this way gives an example of Kibble’s nonlinear quantum mechanics, with the property that the state space has a constant negative curvature. It then follows from the positive curvature theorem that the resulting quantum theory is not physically viable. This conclusion also has implications to other quantum theories obtained from the imposition of analogous superselection rules.", "publicationTitle": "Journal of Physics A: Mathematical and Theoretical", "publisher": "", "place": "", "date": "November 2017", "volume": "50", "issue": "48", "section": "", "partNumber": "", "partTitle": "", "pages": "485202", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "J. Phys. A: Math. 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It is shown here, in contrast, that PT-symmetric quantum mechanics is fully consistent with standard quantum mechanics. This follows from the surprising fact that the much-discussed metric operator on Hilbert space is not physically observable. In particular, for closed quantum systems in finite dimensions there is no statistical test that one can perform on the outcomes of measurements to determine whether the Hamiltonian is Hermitian in the conventional sense, or PT-symmetric—the two theories are indistinguishable. Nontrivial physical effects arising as a consequence of PT symmetry are expected to be observed, nevertheless, for open quantum systems with balanced gain and loss.", "publicationTitle": "Journal of Physics A: Mathematical and Theoretical", "publisher": "", "place": "", "date": "January 2016", "volume": "49", "issue": "10", "section": "", "partNumber": "", "partTitle": "", "pages": "10LT03", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "J. Phys. A: Math. Theor.", "DOI": "10.1088/1751-8113/49/10/10LT03", "citationKey": "", "url": "https://doi.org/10.1088%2F1751-8113%2F49%2F10%2F10lt03", "accessDate": "2019-03-04T17:46:47Z", "PMID": "", "PMCID": "", "ISSN": "1751-8121", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "en", "libraryCatalog": "Institute of Physics", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [ "2XST52DF" ], "relations": {}, "dateAdded": "2019-03-04T17:46:47Z", "dateModified": "2019-03-04T17:46:47Z" } }, { "key": "F642S4MF", "version": 1479, "library": { "type": "group", "id": 85966, "name": "Tools for computational finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/85966/items/F642S4MF", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance/items/F642S4MF", "type": "text/html" } }, "meta": { "createdByUser": { "id": 540195, "username": "ianbuckley", "name": "Ian Buckley", "links": { "alternate": { "href": "https://www.zotero.org/ianbuckley", "type": "text/html" } } }, "creatorSummary": "Israel Institute for Advanced Studies", "numChildren": 0 }, "data": { "key": "F642S4MF", "version": 1479, "itemType": "videoRecording", "title": "Dorje Brody -PT-symmetric quantum mechanics in finite dimensions", "creators": [ { "creatorType": "director", "name": "Israel Institute for Advanced Studies" } ], "abstractNote": "", "videoRecordingFormat": "", "seriesTitle": "", "volume": "", "numberOfVolumes": "", "studio": "", "place": "", "date": "", "runningTime": "3774 seconds", "ISBN": "", "DOI": "", "citationKey": "", "url": "https://www.youtube.com/watch?v=PHwuopH_Gr8", "accessDate": "2019-03-04T17:45:07Z", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "YouTube", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [ "2XST52DF" ], "relations": {}, "dateAdded": "2019-03-04T17:45:07Z", "dateModified": "2019-03-04T17:45:07Z" } }, { "key": "H89S9GXM", "version": 1478, "library": { "type": "group", "id": 85966, "name": "Tools for computational finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/85966/items/H89S9GXM", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance/items/H89S9GXM", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/85966/items/CZUJI4EK", "type": "application/json" } }, "meta": { "createdByUser": { "id": 540195, "username": "ianbuckley", "name": "Ian Buckley", "links": { "alternate": { "href": "https://www.zotero.org/ianbuckley", "type": "text/html" } } }, "numChildren": 0 }, "data": { "key": "H89S9GXM", "version": 1478, "parentItem": "CZUJI4EK", "itemType": "note", "note": "Comment: 22 Pages", "tags": [], "relations": {}, "dateAdded": "2019-03-04T17:44:48Z", "dateModified": "2019-03-04T17:44:48Z" } }, { "key": "CZUJI4EK", "version": 1478, "library": { "type": "group", "id": 85966, "name": "Tools for computational finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/85966/items/CZUJI4EK", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance/items/CZUJI4EK", "type": "text/html" } }, "meta": { "createdByUser": { "id": 540195, "username": "ianbuckley", "name": "Ian Buckley", "links": { "alternate": { "href": "https://www.zotero.org/ianbuckley", "type": "text/html" } } }, "creatorSummary": "Bender et al.", "parsedDate": "2007-04-23", "numChildren": 1 }, "data": { "key": "CZUJI4EK", "version": 1478, "itemType": "journalArticle", "title": "Geometry of PT-symmetric quantum mechanics", "creators": [ { "creatorType": "author", "firstName": "Carl M.", "lastName": "Bender" }, { "creatorType": "author", "firstName": "Dorje C.", "lastName": "Brody" }, { "creatorType": "author", "firstName": "Lane P.", "lastName": "Hughston" }, { "creatorType": "author", "firstName": "Bernhard K.", "lastName": "Meister" } ], "abstractNote": "Recently, much research has been carried out on Hamiltonians that are not Hermitian but are symmetric under space-time reflection, that is, Hamiltonians that exhibit PT symmetry. Investigations of the Sturm-Liouville eigenvalue problem associated with such Hamiltonians have shown that in many cases the entire energy spectrum is real and positive and that the eigenfunctions form an orthogonal and complete basis. Furthermore, the quantum theories determined by such Hamiltonians have been shown to be consistent in the sense that the probabilities are positive and the dynamical trajectories are unitary. However, the geometrical structures that underlie quantum theories formulated in terms of such Hamiltonians have hitherto not been fully understood. This paper studies in detail the geometric properties of a Hilbert space endowed with a parity structure and analyses the characteristics of a PT-symmetric Hamiltonian and its eigenstates. A canonical relationship between a PT-symmetric operator and a Hermitian operator is established. It is shown that the quadratic form corresponding to the parity operator, in particular, gives rise to a natural partition of the Hilbert space into two halves corresponding to states having positive and negative PT norm. The indefiniteness of the norm can be circumvented by introducing a symmetry operator C that defines a positive definite inner product by means of a CPT conjugation operation.", "publicationTitle": "arXiv:0704.2959 [hep-th]", "publisher": "", "place": "", "date": "2007-04-23", "volume": "", "issue": "", "section": "", "partNumber": "", "partTitle": "", "pages": "", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "", "citationKey": "", "url": "http://arxiv.org/abs/0704.2959", "accessDate": "2019-03-04T17:44:48Z", "PMID": "", "PMCID": "", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "arXiv.org", "callNumber": "", "rights": "", "extra": "arXiv: 0704.2959", "tags": [ { "tag": "High Energy Physics - Theory", "type": 1 } ], "collections": [ "2XST52DF" ], "relations": {}, "dateAdded": "2019-03-04T17:44:48Z", "dateModified": "2019-03-04T17:44:48Z" } }, { "key": "TUZDNBRN", "version": 1477, "library": { "type": "group", "id": 85966, "name": "Tools for computational finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/85966/items/TUZDNBRN", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/tools_for_computational_finance/items/TUZDNBRN", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/85966/items/F5J9UZ68", "type": "application/json" } }, "meta": { "createdByUser": { "id": 540195, "username": "ianbuckley", "name": "Ian Buckley", "links": { "alternate": { "href": "https://www.zotero.org/ianbuckley", "type": "text/html" } } }, "numChildren": 0 }, "data": { "key": "TUZDNBRN", "version": 1477, "parentItem": "F5J9UZ68", "itemType": "note", "note": "Comment: 6 pages, final version to appear in J Phys A", "tags": [], "relations": {}, "dateAdded": "2019-03-04T17:43:52Z", "dateModified": "2019-03-04T17:43:52Z" } } ]