Impact of wrong-way risk on margin valuation adjustment
<p>Valuation adjustments (XVA) have grown in popularity and importance since the Financial Crisis. In the post-Crisis environment, the value of a derivative can no longer be calculated simply as the risk-free price from by Black-Scholes theory, but other aspect, such as credit risk need to be...
| Egile nagusia: | |
|---|---|
| Beste egile batzuk: | |
| Formatua: | Thesis |
| Hizkuntza: | English |
| Argitaratua: |
2021
|
| Gaiak: |