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XVA Master Class by Massimo Morini: #8 - More on Capital and Prudent Valuation
XVA Master Class by Massimo Morini: #8 - More on Capital and Prudent Valuation
Running time: 1 hour 51 minutes
Taken from:
XVA Master Class by Massimo Morini: Part 2
- Models for CVA and DVA
- Short Rate and Libor Models
- Wrong way Risk
- Wrong Way Risk for CDS
- Model Risk in Wrong Way Risk
- Adjoint Differentiation
- American Montecarlo
- More on Capital and Prudent Valuation
- Capital Value Adjustment
- KVA vs CVA
- P vs Q
- Modelling under the Real Measure
- Initial Margin Adjustment
- Collateral Option Adjustment
Academic level
Topic
Credit RiskPublished date
21 September 2015Price
£49.00Related workshops

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