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by mathfam
November 22nd, 2016, 12:03 am
Forum: Technical Forum
Topic: XVA of an uncollateralized swaption
Replies: 6
Views: 1408

Re: XVA of an uncollateralized swaption

Gents, few observations: This paper (and it's a firm favourite for reasons I'll elaborate), is very much a bird's eye view. The actual choices of dynamics are much less impactful than (2.3). To mention some of the elements omitted in the  paper (and which are 100% priced daily in my desk experience)...
by mathfam
November 21st, 2016, 11:01 pm
Forum: Technical Forum
Topic: CVA marking
Replies: 4
Views: 1022

Re: CVA marking

ratings based mapping to more liquid (less illiquid?) occurs too.... 
GZIP: On