LIBROS DEL AUTOR: michael pykhtin

1 resultados para LIBROS DEL AUTOR: michael pykhtin

michael pykhtin Eliminar filtro Quitar filtros
  • Finance and Economics Discussion Series
    Dan Rosen / Michael Pykhtin / United States Federal Reserve Board
    We address the problem of allocating the counterparty-level credit valuation adjustment (CVA) to the individual trades composing the portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the counterparty’s default. We propose a methodology for calculating conditional EE cont...
    Disponible

    14,72 €