Capital valuation adjustment (KVA)

The fair basis

Wujiang Lou remodels credit arbitrage by introducing funding and capital costs

Risk optimisation: the noise is the signal

Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…

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