论文标题
XVA的客户工程在危机和正态中：重组，强制性休息和重置
Client engineering of XVA in crisis and normality: Restructuring, Mandatory Breaks and Resets
论文作者
论文摘要
危机挑战客户XVA管理是不可能的，因为不可能连续抵押，因为客户信贷水平上的衍生锁以及提供商在贸易日期的提供商的资金级别为贸易寿命。我们将XVA策略从客户的角度缩小策略，以使用强制性休息或重组比较多个贸易策略，并使用重置进行修改。我们分析以前的危机和CD的恢复，以告知我们的数值示例。在我们的数值示例中，如果没有信用恢复，则可以重置是强制性休息/重组的两倍。当恢复至少是信用冲击的1/3时，强制性休息/重组可能会更有效。
Crises challenge client XVA management when continuous collateralization is not possible because a derivative locks in the client credit level and the provider's funding level, on the trade date, for the life of the trade. We price XVA reduction strategies from the client point of view comparing multiple trade strategies using Mandatory Breaks or Restructuring, to modifications of a single trade using a Reset. We analyse previous crises and recovery of CDS to inform our numerical examples. In our numerical examples Resets can be twice as effective as Mandatory Break/Restructuring if there is no credit recovery. When recovery is at least 1/3 of the credit shock then Mandatory Break/Restructuring can be more effective.
