News and articles

• XVA series - 5. Pricing in the CCR/XVA context: Path-dependent trades

  May 12, 2026 · Article

  This article presents another example of a pricing challenge specific to XVA and CCR context: the handling of path-dependent trades.

  #CCR #XVA

• XVA series - 6. Pricing in the CCR/XVA context: American Monte Carlo

  May 12, 2026 · Article

  This article presents American Monte Carlo technique, and explains how it is used in the XVA and CCR context to compute market value grids, when closed-form evaluation is not available.

  #CCR #XVA

• XVA series - 4. Pricing in the CCR/XVA context: Physical-delivery and late-cash options

  May 12, 2026 · Article

  This article presents a first example of a pricing challenge, specific to the context of XVA and CCR: the treatment of trades with late cash and late physical delivery.

  #CCR #XVA

• XVA series - 3. On the consistency between diffusion and pricing models

  May 12, 2026 · Article

  This article presents the arguments for and against the two possible approaches in XVA modelling: the inconsistent approach, where the dynamics are different between diffusion and pricing, and the consistent approach, where the same dynamics are used for both diffusion and pricing.

  #CCR #XVA

• XVA series - 2. Typical exposure profiles

  May 12, 2026 · Article

  In this article, typical shapes of EE and PFE profiles are shown for the most common interest rates and foreign exchange derivatives.

  #CCR #XVA

• XVA series - 1. Introduction to CCR and CVA

  May 12, 2026 · Article

  This article gives an introduction to the Counterparty Credit Risk (CCR) and CVA.
  In particular, it explains how they arise, how they are computed and for which purpose, and what challenges they raise.

  #CCR #XVA