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- W2419391162 abstract "It is certainly important to capture the CVA of collateralized portfolios, because the portfolio size can lead to a significant number. As discussed in Chapter 7, such an analysis can only be done by simulating the whole portfolio including collateral development and deal ageing. Uncollateralized portfolios may be smaller nowadays, but the CVA impact per trade is obviously more pronounced. We therefore start by delving into actual CVA calculations for the latter, simpler case and look into CVA for a few vanilla derivative products." @default.
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- W2419391162 date "2015-01-01" @default.
- W2419391162 modified "2023-10-11" @default.
- W2419391162 title "Single Trade CVA" @default.
- W2419391162 doi "https://doi.org/10.1057/9781137494849_9" @default.
- W2419391162 hasPublicationYear "2015" @default.
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