When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization

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Bibliographic Details
Main Authors:	Biagini, Francesca, Gnoatto, Alessandro, Oberpriller, Katharina
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Probability Pricing of Securities 91G20, 91G30, 91G40
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2502.12774