Credit valuation adjustments (CVA) and initial margin (IM) requirements aren’t the easiest measures to compute, especially for a large portfolio of assets. Both require users to calculate the future ...
Crisis-era data on interest rate derivatives shows that wrong-way risk has a significant impact on their pricing, but the effect is almost entirely driven by the level of underlying interest rates ...
On December 14, 2017, the European Central Bank (“ECB“) published its first consultation on the draft ECB guide on the assessment methodology (EGAM) for the internal model method (“IMM“) and the ...
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