论文标题
用xvas处理模型风险
Handling model risk with XVAs
论文作者
论文摘要
在本文中，我们重新访问了伯内特（2021）\＆伯内特和威廉姆斯（2021）的对冲估值调整（HVA）的概念，最初旨在应对模型风险的方向处理动态对冲摩擦，例如交易摩擦，例如交易成本。相应的HVA将全球公平估值模型与银行不同桌子使用的本地模型进行了调解。模型风险和动态对冲摩擦的确应该得到储备金，而且是经过风险调整的摩擦，不仅是HVA，而且对银行的KVA也有贡献。所涉及效果的数量级表明，本地模型不应通过储备金来管理太多，完全不包括在内。
In this paper we revisit Burnett (2021) \& Burnett and Williams (2021)'s notion of hedging valuation adjustment (HVA), originally intended to deal with dynamic hedging frictions such as transaction costs, in the direction of model risk. 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.
