CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions
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KeywordsCVA; DVA; FVA; Collateral; Full replication;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-16 (All new papers)
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