Tag Info

New answers tagged

0

I believe netting sets are usually provided as inputs to the algorithm in most-cases. If you were to kind of "guess" netting sets given different trades (in general) data, you could start by grouping them by counterparty. I'm not a legal specialist but my understanding is that counterparty here is to be understood as "legal entity" or something like that, ...


0

would it affect CVA? that would depend on what happens on breaking. Normally if we break a swap, the swap is over and there are no more cash-flows. We would only break if the NPV is negative and in that case we have no credit exposure so no effect. However, CVA is generally computed on a book basis and that is more complicated. Ultimately, you have to ...



Top 50 recent answers are included