Matthias Arnsdorf
Matthias Arnsdorf is global head of counterparty credit risk quantitative research at JP Morgan in London.
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Articles by Matthias Arnsdorf
Bayesian backtesting for counterparty risk models
Utilising Bayesian methods, the authors put forward a new means for counterparty risk model backtesting which is both simple to implement and conceptually sound.
KVA as a transfer of wealth
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced