Thanks for the link and the tip. Somehow I struggled to find anything related to exposure calculations in case of RFR (risk free rate)-based products (e.g. cross-currency swaps). I'm mainly interested in the conventions around the treatment of the simulated rates for compounding along the exposure g...

These obscure abbreviations are everywhere nowadays, I'm surprised this made an offence. Anyway, tried to delete it and got this "You cannot delete posts in this forum."

Always wandered: you are so keen to share your scientific endeavors, but no one shows any skepticism. Looking at your papers, I see that 99% of the citations come from your other articles - not a good thing.  Same goes to Krasnoholovets, btw - just checked. Am I the first to say this? Will I now get...

Can anyone suggest references on the calculation of exposures and xVA using RFR?

Thanks. From what I understood talking to auditors, the interpretation is indeed to unwind in one day. It remains to find out how the pricing should be done in practice to account for this. 

Hi All, Since there is no explicit definition of FVA from accounting point of view, one usually refers to the fair value definition (see e.g. KPMG's Putting Funding Equation 2013).  IFRS 13 defines fair value as “[...] the price that would be received to sell an asset or paid to transfer a liability...

Hi,
Thanks for the suggestion. I'll have a look at his webpage.

Hi all, I'm new to this field and was wondering if you could suggest a list of most useful toolboxes for model validation? Which are the recommended toolboxes for all kinds of statistical analysis, time series, pricing models, MC simulations, etc? Also, could you suggest a good book (online course) ...