Finance and Economics Discussion Series: Pricing Counterparty Risk at the Trade Level and Cva Allocations

By Michael Pykhtin

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... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 1288704569
• ISBN13: 9781288704569
• Release Date: February 2013
• Publisher: Bibliogov
• Length: 50 Pages
• Weight: 0.24 lbs.
• Dimensions: 0.1" x 7.4" x 9.7"