Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan - arXiv.org - 2015
We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive the nonlinear backward stochastic differential equations (BSDEs)...