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Results tagged with cva
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user 1208
The Credit Value Adjustment, or CVA for short, is the difference between the risk free value and the value including counterparty risk of a contract or portfolio.
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Why is Feynman-Kac formula applicable in Burgard-Kjaers PDE paper?
In the paper Partial Differential Equation Representation of Derivatives with Bilateral Counterparty Risk and Funding Costs by Burgard and Kjaer, they say we may formally apply the Feynman-Kac theorem …
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