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Restructuring Counterparty Credit Risk by Claudio …
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1969344
Our framework extends the traditional formulations based on Credit and Debit Valuation Adjustments (CVA and DVA). Depending on how the default contingency is accounted for, we list a total of ten different structuring styles. ... Albanese, Claudio and Brigo, Damiano and Oertel, Frank, Restructuring Counterparty Credit Risk (November 1, 2011).
Capital Valuation Adjustment and Funding Valuation Adjustment
https://www.lpsm.paris/pageperso/crepey/papers/capital-and-funding.pdf
Email addresses: [email protected], [email protected] Acknowledgement: We are grateful for useful discussions to Yannick Armenti, Agostino Cap-poni, Jaksa Cvitanic, Karl-Theodor Eisele, Rodney Hoskinson, Monique Jeanblanc, Marek Rutkowski, Michael Schmutz, Martin Schweizer, and Shiqi Song.
The Black Art of FVA by Claudio Albanese | Quants Hub
https://quantshub.com/content/black-art-fva-claudio-albanese
Presenter: by Claudio Albanese. Discussion on recent developments in the XVA arena, including not only the FVA but also the KVA and MVA. FVA is still hotly debated in the financial industry with each bank following different approaches to account for such a charge.
« Valuation: KVA and FVA - A new approch » avec Claudio ...
https://www.eifr.eu/files/file1552941.pdf
avec Claudio Albanese et Moez Mrad Intertwined with the CVA (Credit Valuation Adjustment) and KVA/FVA metrics are the object of a lively debate and standard setting process that is reshaping investment banking. In this talk, we review how banks can benefit from applying these metrics in a number of areas, including : DATE
The FVA Puzzle: Accounting, Risk Management and …
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2517301
Albanese, Claudio and Andersen, Leif B.G. and Iabichino, Stefano, The FVA Puzzle: Accounting, Risk Management and Collateral Trading (October 31, 2014).
Latest Practical CVA & FVA Advancements: Pricing, Hedging ...
https://www.wbstraining.com/pdf/Latest_Practical_CVA_&_FVA_Advancements_(June_2013).pdf
Reviews the latest practical CVA & FVA techniques. The day starts with Claudio Albanese (King’s College London) reviewing the latest hedging strategies for CVA Books, followed by Luis Manuel García Muñoz (BBVA) looking at CVA, FVA (and DVA?) with stochastic spreads with a special focus on the hedge-ability of every term.
The Cost-of-Capital XVA Approach in Continuous Time
https://www.lpsm.paris/pageperso/crepey/papers/cost-of-capital-XVA-CT.pdf
Email addresses: [email protected], [email protected] Acknowledgement: We are grateful for useful discussions to Agostino Capponi, Jaksa Cvitanic, Karl-Theodor Eisele, Marek Rutkowski, Michael Schmutz, and Martin Schweizer. 1
Risk measure, XVA Analysis, Cost of Capital and Central ...
https://www.marchioro.org/seminars/nus-sjtu-evry-workshop/
The second one is the work of Claudio Albanese from Global Valuation (from which I have no affiliation). In this work several XVA measures, namely CVA, FVA, and MVA, are computed using a huge Monet Carlo simulation that takes into account the large number of underlying risk factors.
THE 12TH FIXED INCOME CONFERENCE
http://www.frank-oertel-math.de/12_FI_Conf.pdf
BY CLAUDIO ALBANESE HEAD OF ANALYTICS, IMEX INITIAL MARGIN EXCHANGE 1. Credit Valuation Adjustments (CVA/DVA) • Unsecured derivatives • CSA agreements and close-out protocols • Definition of CVA • The Debt Valuation Adjustment (DVA) • Fair valuation of CVA/DVA • Core Equity Tier I (CET1) capital • Capital treatment of CVA/DVA
Claudio Albanese - Founder - Global Valuation Ltd | LinkedIn
https://uk.linkedin.com/in/claudio-albanese-652b345
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