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...
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| Định dạng: | Luận văn |
| Ngôn ngữ: | English |
| Được phát hành: |
2021
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