Before revision:  By constraining the actual default intensity of the counterparty within an uncertainty interval , we derive both upper and lower bounds for the XVA process . We show that these bounds may be recovered as solutions of nonlinear ordinary differential equations.
After revision:  By constraining the actual default intensity of the counterparty within an uncertainty interval , we derive both upper and lower bounds for the XVA process of the portfolio, and show that these bounds may be recovered as solutions of nonlinear ordinary differential equations.