Nonlinear Valuation in Presence of SCSA/CCPs Under Margining, Gap Risk and Funding Costs by Damiano Brigo

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Nonlinear Valuation in Presence of SCSA/CCPs Under Margining, Gap Risk and Funding Costs 

Presenter: Damiano Brigo: Professor & Co-Head Of Mathematical Finance, Imperial College London

  • A comprehensive valuation approach
  • Credit, Collateral and Funding
  • CVA, DVA and Gap Risk
  • Nonlinearities: replacement closeout
  • Nonlinearities: asymmetric borrowing/lending
  • Initial margins, default delays and multiple curves.
  • Aggregation dependent and asymmetric valuation
  • Discussion of examples

Published date

Monday, 10 November, 2014