When Capital is a Funding Source: The XVA Anticipated BSDEs


Economic capital (EC) can be used as a funding source by banks, at a risk-free cost instead of the additional credit spread of the bank in the case of unsecured borrowing. This intertwining of EC and FVA leads to an... [ view full abstract ]


  1. Stéphane Crépey (Evry University)
  2. Romuald Elie (University Paris Est)
  3. Wissal Sabbagh (Evry)
  4. Shiqi Song (University of Evry)

Topic Areas

Backward Stochastic Differential Equations , Credit Risk , CVA-XVA Models


TH-P-B1 » Credit Risk 2 (14:30 - Thursday, 19th July, Beckett 1)

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