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An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
An Efficient Distributable Risk CVA Calculation
2010/10/22
The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is ess...
Calculation of aggregate loss distributions
aggregate loss distribution compound distribution
2010/10/21
Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Clo...