Robust HVA is the worst-case expected loss in a relative-entropy ball around loss distributions from simulated rebalancing and unwind trades under different no-trade-band rules.
Artur Sepp
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Robust Hedging Valuation Adjustment under Liquidity--Demand Stress
Robust HVA is the worst-case expected loss in a relative-entropy ball around loss distributions from simulated rebalancing and unwind trades under different no-trade-band rules.