I have simulated future term structures in the one-factor Hull-White model and calculated the CVA of a particular trade (let's say, now I have it in absolute value, in dollars). However, I want to ...
According to John Gregory, "netted positions are inherently more volatile than their underlying gross positions". Given the context, I think he's talking about close-out netting and not payment ...
The following is an excerpt from the dialogue in the book "Counterparty Risk and Funding - A Tale of Two Puzzles", regarding the statistics such as the volatility and correlation estimation under the ...
For counterparty credit risk, in particular, for potential future exposure computation, people use the real-world probability measure to evolve the underlying risk factors. My question is that whether ...
How do you calculate the Potential Future Exposure (PFE) for a swaption? Do you incorporate the dynamics of implied volatility when you are running your simulations? Is there a standard way to ...
This question follows up my answer and the related comment to this post and in general relates to counterparty risk. When you buy a financial asset, this asset goes in your account at your custodian ...
The derivation of the Black-Scholes model assumes no counterparty risk. Does the presence of counterparty risk invalidate the argument behind the model? EDIT: The question is about options in ...
I am at the moment considering investing into ETFs, but I am looking first to understand how these products really work. Indeed, it is my understanding that ETF can vary in terms of structure, thus ...