Now showing items 1-2 of 2

    • Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem 

      Trevisani, Davide; López-Salas, José Germán; Vázquez, Carlos; García Rodríguez, José Antonio (Elsevier B.V., 2025-03)
      [Abstract]: In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy ...
    • Rationale and Design of a Scope 3 Capital Charge 

      Trevisani, Davide; López, José Germán; Kenyon, Chris; Vázquez, Carlos; Berrahoui, Mourad (Universidade da Coruña, Servizo de Publicacións, 2023)
      [Abstract] Climate change is caused by greenhouse gas emissions, and governments have introduced over seventy carbon pricing instruments (CPIs). Banks finance a significant fraction of global emissions, and many have ...